臺灣博碩士論文加值系統

平均式選擇權可以依計算方式分為算術平均及幾何平均兩種，不同於幾何平均式選擇權，算術平均式選擇權之評價並沒有封閉的公式解。此外，平均式選擇權也可依照摽的資產分為亞式選擇權與組合式選擇權，在過去的研究中較少將兩者類型同時考慮。因此，本論文結合現有的亞式選擇權及組合式選擇權之評價方式，推導出利用對數常態分配作為近似分配的亞式組合式選擇權近似封閉解。在本論文中再將此評價公式的結果與另一種近似封閉解作近似結果比較，證明出此推導結果能更精確且有效率的計算出平均式選擇權價格，並能利用此模型公式於平均式連動債券的評價與避險之中，最後再針對兩種連動債券的評價結果作發行商及投資人的策略分析。

第一章 緒論 1
一、前言 1
二、研究動機與目的 2
三、研究架構 3
第二章 文獻回顧 4
一、亞式選擇權 (ASIAN OPTIONS) 5
二、組合式選擇權 (BASKET OPTIONS) 8
第三章 研究方法 11
一、VORST-GENTLE模型 12
二、動差配適法 21
三、蒙地卡羅模擬 26
第四章 債券天王PIMCO基金連動債券 29
一、基金連動債之商品介紹 29
二、基金連動債商品之評價過程 36
三、評價結果 44
四、避險參數 46
五、發行商之風險分析與避險策略 48
六、投資人之風險分析與投資策略 49
第五章 一年期亞洲匯率連結組合式商品 50
一、亞洲匯率連結組合式商品介紹 50
二、亞洲匯率連結組合式商品評價過程 57
三、評價結果 62
四、避險參數 64
五、發行商之風險分析與避險策略 65
六、投資人之風險分析與投資策略 66
第六章 結論 67
附錄一 69
附錄二 70
參考文獻 71

【中文部分】
1. 周培如，(2004)「平均式保本票券之設計與分析」，政治大學金融所碩士論文。
2. 陳松男，(2002)「金融工程學：金融商品創新選擇權理論」，華泰書局。
3. 陳松男，(2004)「結構型金融商品之設計及創新」，新陸書局。
4. 陳佩菱，(2003)「結構性金融商品之個案分析」，政治大學金融所碩士論文。
5. 陳威光，(2001)「選擇權：理論、實務與應用」，智勝文化。
6. 蘇宥運，(2004)「傅利葉轉換於亞式選擇權評價上之應用性研究」，政治大學金融所碩士論文。

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