https://scholars.lib.ntu.edu.tw/handle/123456789/165822
標題: | 保護進場時機與出場時機之認購權證:設計、評價與避險 | 其他標題: | Warrant with Market Entering and Exiting Protection: Designing, Pricing, and Hedging | 作者: | 李賢源 | 關鍵字: | 保護進場/出場;回顧選擇權;階梯選擇權;界限選擇權;收現或無二元選擇權;Delta 跳躍;Delta 平滑化;Market Entry/Exit Protection;Lookback Option;Ladder Option;Barrier Option;Cash or Nothing Binary Option;Delta Jump;Delta Smooth | 公開日期: | 2001 | 出版社: | 臺北市:國立臺灣大學財務金融學系暨研究所 | 摘要: | This paper designs a warrant providing investors market entering or exiting protection. The warrant is not only marketable but also cheaper than the lookback option, which is traditionally known as an instrument with market entering or exiting protection. The warrant developed here is indeed a ladder option, which remains the similar payoff pattern of lookback option and is a portfolio of barrier options and cash or nothing binary options. The warrant is priced by summing all values of exotic options of this portfolio. Moreover, warrant’s Greeks are studied and the feature of delta jump is demonstrated. Since delta jump causes issuer’s hedging problem, a delta-smooth warrant is proposed to avoid the hedging problem. This paper shows that the delta-smooth warrant does not increase too much cost, has no serious delta jump problem, and is a very innovative product with great marketability. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/16252 | 其他識別: | 892416H002070 | Rights: | 國立臺灣大學財務金融學系暨研究所 |
顯示於: | 財務金融學系 |
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892416H002070.pdf | 31.92 kB | Adobe PDF | 檢視/開啟 |
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