保護進場時機與出場時機之認購權證：設計、評價與避險
Other Title
Warrant with Market Entering and Exiting Protection: Designing, Pricing, and
Hedging
Hedging
Date Issued
2001
Date
2001
Author(s)
DOI
892416H002070
Abstract
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.
Subjects
Market Entry/Exit Protection
Lookback Option
Ladder Option
Barrier Option
Cash or Nothing Binary Option
Delta
Jump
Jump
Delta Smooth
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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