跳到主要內容

臺灣博碩士論文加值系統

(34.226.244.254) 您好!臺灣時間:2021/08/01 02:40
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:尹妍琇
研究生(外文):Yin, Yen-hsiu
論文名稱:新奇外匯選擇權在台灣的發展:評價、避險及應用
論文名稱(外文):The Development of Exotic Foreign Currency Option in Taiwan: Pricing, Hedgeing and Application
指導教授:李賢源李賢源引用關係
指導教授(外文):Lee, Shyan-Yuan
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:92
中文關鍵詞:外匯選擇權界限選擇權走廊選擇權進出口商評價避險
外文關鍵詞:FX OptionBarrier OptionCorridor Optionimport and export coporationspricinghedging
相關次數:
  • 被引用被引用:19
  • 點閱點閱:1248
  • 評分評分:
  • 下載下載:137
  • 收藏至我的研究室書目清單書目收藏:3
我國是一個以貿易為主的國家,因此進出口廠商的利潤受到匯率風險的影響,然而在各種的避險工具當中,最具有彈性的外匯選擇權運用上並不普遍,主要是肇因於外匯選擇權的權利金較高的緣故。本篇文章將以發行銀行的立場,考量進出口廠商各不相同之匯率風險預期及承受風險能力,進一步設計符合進出口廠商需求之新奇外匯選擇權,除了將降低避險成本外,進而提昇我國外匯選擇權市場的活絡。
外匯選擇權市場中以外匯界限選擇權(FX Barrier Option)的運用最為普及,因此本文將由外匯界限選擇權著手,加上新奇界限選擇權-外匯走廊選擇權(FX Corridor Option)(外匯雙重界限選擇權),將可以更為靈活地運用。職是之故,出口商所可以加以運用外匯選擇權包括:標準外匯賣權(適用於一般情況,成本較高)、上方失效外匯界限賣權(UOP,適用於匯率上升情況,成本較低)、下方生效外匯界限賣權(DIP,適用於匯率下跌情況且不保護小幅下跌,僅保護大幅下跌,成本較低)、外匯走廊賣權(Corridor Put,適用於匯率小幅或大幅波動,成本較低,可分為:DoubleOP及DoubleIP);而進口商所可運用之外匯選擇權包括:標準外匯買權、DOC、UIC、DoubleOC以及DoubleIC。
在了解新奇外匯選擇權在節省權利金的優點後,運用上亦有些限制,將進一步探討此類新奇外匯選擇權之評價方法及避險相關問題。不論是外匯界限選擇權或是外匯走廊選擇權均有封閉解,然而在樹狀圖評價法上,則分別有:Derman-Kani-Ergener-Bardhan[1995](內差法)、Ritchken[1995](三元樹法)及Cheuk-Vorst[1996](移動參數法),其中以Cheuk and Vorst的移動參數法無論是雙重界限或是界限與即期匯率接近的評價效率較佳。
至於避險相關問題則牽涉到外匯選擇權之Delta在界限附近將有jump的情況,造成發行銀行避險上的困難,因此亦有靜態避險的發展,儘管目前市場尚無法運用,然而將是未來發行後進行避險的重要發展。
Although Taiwan shows great power in international trade, import and export corporations expose themselves to foreign exchange rate (FX) risk. Among all the tools of circumventing FX risk, FX options are the most flexible ones. However, to retain this flexibility, the hedgers in FX options must pay much premium. The main purpose of this paper is to design some exotic FX options to reduce the hedging cost and to advance the development of FX option market.
The most common using exotic FX options are FX barrier options; hence I start my research with FX barrier options. Besides standard FX barrier options, I also apply FX corridor options (FX double barrier options). Therefore, the tools which exporters could hedge FX risk are: standard put option, UOP (Up- Out Put), DIP (Down- In Put), DoubleOP (Double Knock- Out Put) and DoubleIP (Double Knock- In Put); the tools which importers could use are: standard call option, DOC (Down- Out Call), UIC (Up- In Call), DoubleOC (Double Knock- Out Call) and DoubleIC (Double Kncok- In Call). Since the related risk behind the saving cost may be a little dangerous, we should be very careful when using these kind of exotic FX Options.
I''ll further discuss the pricing methods of exotic FX options. Though closed-form solution already exists, the tree-pricing method still plays an important role. Since tree-pricing method provides more flexibility, I try to compare three tree-pricing methods for pricing exotic FX options. Cheuk-Vorst shift parameter method demonstrates better pricing efficiency in pricing exotic FX options. Consequently, the issuers of these options should use Cheuk-Vorst shift parameter method to price exotic FX options.
As for the hedging of these exotic FX options, there incur some problems for dynamic hedging: Delta Jump. For this reason, the better choice for issuing banker is use static hedging method. Static hedging is the future trend for the hedging of exotic options, even though it couldn''t execute well in less developed financial market.
第一章 緒論………………………………………………………………1
第一節 研究動機…………………………………………………1
第二節 研究架構……………………………………………………7
第二章 外匯選擇權的基本訂價模式…………………………………9
第一節 歐式外匯選擇權訂價模式…………………………………9
第二節 美式外匯選擇權訂價模式………………………………13
第三章 外匯界限選擇權評價………………………………………21
第一節 外匯界限選擇權介紹……………………………………22
第二節 評價外匯界限選擇權的方法……………………………25
第四章 外匯走廊選擇權評價………………………………………34
第一節 外匯走廊選擇權介紹……………………………………35
第二節 評價外匯走廊選擇權的方法..……………………………36
第五章 新奇外匯選擇權評價方法比較……………………………43
第一節 外匯界限選擇權之評價方法比較………………………43
第二節 外匯走廊選擇權之評價方法比較………………………48
第三節 新奇外匯選擇權之評價方法比較結果…………………53
第六章 新奇外匯選擇權之風險參數行為…………………………55
第一節 動態避險策略……………………………………………56
第二節 靜態避險策略……………………………………………65
第七章 進出口廠商避險工具之選擇考量…………………………70
第一節 出口商與造市者觀點……………………………………70
第二節 進口商與造市者觀點……………………………………75
第八章 結論與後續研究方向…………………………………………81
附錄……………………………………………………………………84
參考資料………………………………………………………………92
Bodurtha, J.N., Jr. and G.R. Courtadon. (1987) "The Pricing of Foreign Currency Options," Monograph Series in Finance and Economics, New York University
Boyle, P.P. and S.H. Lau (1994) "Bumping Up Against the Barrier with Binomial Method," Journal of Derivatives, 1, pp 6-14
Carr, P.P., K. Ellis, and V. Gupta (1998) "Static Hedging of Exotic Options," Journal of Finance, 53, pp 1165-1190
Cheuk, T. and T. Vorst, (1996) "Complex Barrier Options," Journal of Derivatives, 4, pp 8-22
Clewlow, L. and C. Strickland (1998) "Implementing Derivatives Models," John Wiley & Sons.
Derosa, D. F. (1992) "Options on Foreign Exchange," Probus Publishing Company
Derman, E., I. Kani, D. Ergener, and I. Bardhan (1995) "Enhanced Numerical Methods for Options with Barrier," Financial Analysts Journal, Nov-Dec, pp 65-74
Espen, G. H.(1998) "The Complete Guide to Option Pricing Formulas," first edition, McGraw- Hill
Garman, M.B. and S. W. Kohlhagen (1983) "Foreign Currency Option Values," Journal of International Money and Finance, 2, pp 231-237
Geman, H. and M. Yor (1996) "Pricing and Hedging Double-Barrier Options: A Probabilistic Approach," Mathematical Finance, 6, pp365-378
Kunitomo, N. and M. Ikeda (1992) "Pricing Options with Curved Boundaries," Mathematical Finance, 2, pp 275-298
Kwok, Y. K. (1998) "Mathematical Models of Financial Derivatives," Springer Finance
Reiner, E. and M. Rubinstein, (1991a) "Breaking Down the Barriers," Risk Magazine, 4, pp28-35
Ritchken, P. (1995) "On Pricing Barrier Options," Journal of Derivatives, 3, pp19-28
Zhang, P.G. (1998) "Exotic Options: A Guide to Second Generation Options," second edition, World Scientific.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top