最低收益保證型商品賦予投資者在到期日之前獲得最基本的保證收益，其為目前金融市場最活絡的商品之一。本研究除了考慮投資人可以提前履行最低收益商品的美式選擇權之外，同時考慮標的資產具有隨機之特性，發展出隨機波動美式最低收益投資保證商品之分析解。此外，本研究同時探討在其他參數變動之下對於最低收益保證型商品價格變動的敏感度分析。透過數值分析的結果顯示，本研究的分析解可以提供學術界與實務界一個具有效率性與正確性的評價模型。

American investment guarantees endow the investors a minimum investment profit before the maturity, it is among the most popular financial instruments these days. This paper develops an analytic formula for American investment guarantees under stochastic volatility, which not only considers the early exercising right of investors but also takes into account the stochastic volatility features inherent in the underlying assets. Moreover, the impact of different parameters to the price of investment guarantee will be addressed. The numerical experiments show that our analytical formula can be treated as a practical and efficiency tool for pricing stochastic volatility American investment guarantees. It is more desirable as the computing speed is an important consideration.

目 次
壹 緒論 1
貳 文獻回顧 2
參 定價模型 5
肆 實驗結果與分析 8
4.1 參數κ變動敏感度分析 9
4.2 參數θ變動敏感度分析 10
4.3 參數ρ變動敏感度分析 10
4.4 參數ζ變動敏感度分析 11
伍 結論與建議 11
參考文獻 12

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