2008-08-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/710175摘要：波動度風險在管理衍生性金融商品投資組合裡頭扮演著很重要的角色，所以如何管理波動度風險一直是風險管理的重要課題之一。目前在金融市場上大多使用波動度交換或波動度期貨來管理波動度風險。然而，使用選擇權來管理波動度風險可能更加有效率。Brenner, Ou 和 Zhang (2006) 介紹一種新的波動度商品「遠期生效跨式選擇權」，此種跨式選擇權可以更有效地規避波動度風險。 然而，Brenner, Ou 和 Zhang (2006)在Black-Sholes假設下，使用 Brenner 和 Subrahmanyam (1988) 近似法來評價遠期生效跨式選擇權。為了推導出更具一般化的模型來評價遠期生效跨式選擇權，我們將考慮在標的物資產價格具有跳躍效果、隨機波動度的架構，標的物資產價格與標的價格波動度具相關性的情況下，推導更具一般性遠期生效跨式選擇權的公式解。<br> Abstract: Managing volatility risk has attracted the limelight in recent years. Volatility risk plays an important role in managing portfolio of derivatives. Up to now, volatility swaps or futures are used to manage volatility risk by investors. However, options on volatility could be a powerful instrument to hedge volatility risk that is proposed in the past. Brenner, Ou and Zhang (2006) introduce a new instrument by the name of forward-star straddle, which can be used to manage volatility risk efficiently. Brenner, Ou and Zhang (2006) evaluate an option on a straddle by following Black-Sholes assumption and adopting the Brenner and Subrahmanyam (1988) approximation. In order to obtain the generalized pricing model, we take stochastic volatility and jump effect in the underlying asset into consideration and relax the assumption of Brenner, Ou and Zhang (2006), which assume the underlying stock price and return variance independently. We can provide a suitable formula for pricing an option on a forward-star straddle under generalized framework.波動度選擇權遠期生效選擇權隨機波動度跳躍過程風險管理波動度指數選擇權定價forward-star straddlerisk managementstochastic volatilityjump effect