臺灣博碩士論文加值系統

在金融市場中，對多資產路徑相依的衍生性金融商品建立避險策略不僅重要且具有挑戰性。本文在標的資產滿足幾何布朗運動的假設下，推廣
Bowie and Carr (1994)提出的靜態避險方法，利用不同執行價的歐式選擇權的線性組合,首先針對單一資產路徑相依衍生性商品(如障礙選擇權)
提出ㄧ套避險策略。接著再將此概念發展到多資產路徑相依衍生性金融商品(如喜馬拉雅選擇權)的避險問題上，在標的資產間具有相關性時，利用
無風險債券、標的資產與歐式選擇權的組合提出ㄧ在不偏的假設下風險最小的避險策略。模擬研究亦證實本文所提出的避險策略, 對於障礙選擇權和喜馬拉雅選擇權
具有良好的避險成果。

The construction of hedging strategies against path-dependent and multi-assets contingent claims is an important and challenged task in financial markets.
In this study, we first consider the hedging strategy of path-dependent derivatives such as barrier options when the underlying asset follows a geometric
Brownian motion process. We adopt the concept of the static hedging strategies proposed by Bowie and Carr (1994) and extend it to more general situations
by establishing a linear combination of plain vanilla options. Next, similar ideas are utilized to hedge path-dependent and multi-assets derivatives such
as Himalaya options. A minimum variance unbiased hedging strategy consisting of riskless bonds, the underlying assets and European options is proposed when the underlying
assets follow correlated geometric Brownian motion processes. Simulation studies show that the proposed hedging strategies have good performance in
hedging barrier and Himalaya options.

第一章 緒論
第二章 文獻探討
2.1 障礙選擇權
2.2 障礙選擇權的靜態避險
2.3 喜馬拉雅選擇權
第三章 不偏且低風險的避險策略
3.1 障礙選擇權的避險(r>0)
3.2 喜馬拉雅選擇權的避險
第四章 模擬結果
4.1 障礙選擇權的模擬
4.2 喜馬拉雅選擇權的模擬
第五章 結論與未來展望

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