李賢源2006-07-262018-07-092006-07-262018-07-092001http://ntur.lib.ntu.edu.tw//handle/246246/16252This 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.application/pdf32685 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所保護進場/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 ProtectionLookback OptionLadder OptionBarrier OptionCash or Nothing Binary OptionDelta JumpDelta Smoothreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/16252/1/892416H002070.pdf