臺灣博碩士論文加值系統

利用蒙地卡羅方法評價美式重設認購權證，並探討各項重設條款對於權證價格的影響，以及嘗試討論流動性成本概念與最適重設比率的關係。

Our paper evaluates the American-style moving-average reset call warrants using Monte Carlo simulation method. Then, we investigate the affections on the prices of the American-style moving-average reset call warrants by changing the values of the reset terms including reset period, reset ratio, reset frequency, and days of moving-average daily closing price. In the end, our paper goes on to calculate the optimal reset ratio of the reset call warrants by imposing liquidity cost function for out-of-money options.We extend the method of Grant, Vora, and Weeks(1996) to value American-style moving-average reset call warrants.Our results show that the price of the reset warrant is higher than the warrant without resets. In other words, the reset terms increase the value of the warrants. The reset warrant price increases with the reset frequency. There is an optimal reset ratio that makes the reset warrant price maximize at time 0. The longer the reset period is, the higher is the reset probability and so the reset call warrant price. The price of the reset warrant decreases as the days of moving-average daily closing price increases. Hence, the investors of daily reset calls are protected more than those of moving-average reset calls from the reset mechanism. Naturally, the prices of daily reset call warrants are greater than that of the moving-average reset call warrants. The higher the reset probability the higher the reset warrant price at the same reset ratio. There is an optimal reset ratio that makes the expected out-of-the-money liquidity cost minimize under out-of-the-money liquidity cost assumption. The optimal reset ratio of the reset call warrant will become higher when the reset call warrant is popular than other reset call warrants under the assumption of the out-of-the-money liquidity cost.

ABSTRACTCHAPTER 1 INTRODUCTIONCHAPTER 2 LITERATURE REVIEW2.1 The Application of Monte Carlo Simulation2.2 Valuation of American-style Reset CallWarrantCHAPTER 3 MONTE CARLO SIMULATION FORAMERICAN-STYLE MOVING-AVERAGERESET WARRANT3.1 Introduction of Monte Carlo simulation3.2 Application of Monte Carlo simulation for American-style call option3.3 Valuing American-style Moving-Average Reset Call Warrants3.4 Numerical Results3.5 HedgingCHAPTER 4 OUT-OF-THE-MONEY LIQUIDITY COST AND OPTIMAL RESET RATIOCHAPTER 5 CONCLUSIONSREFERENCESTABLESGRAPHICS

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