結構型商品之評價與分析-以外匯型累加期權及目標贖回遠期為例

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Title:	結構型商品之評價與分析-以外匯型累加期權及目標贖回遠期為例
Authors:	林雅萍;Lin,Ya-ping
Contributors:	財務金融學系在職專班
Keywords:	單界限;雙界限;外匯選擇權;蒙地卡羅模擬法;累加期權;目標贖回遠期;Single Barrier;Double Barrier;FX Option;Monte Carlo Simulation;Accumulator;Target Redemption Forward
Date:	2015-07-14
Issue Date:	2015-09-23 11:57:53 (UTC+8)
Publisher:	國立中央大學
Abstract:	摘要在現今的社會環境中各種金融投資管道及投資工具日益變化，但是金融商品的本質似乎沒有太大的改變，在衍生性商品中利率型商品交易為大宗，再來是外匯型交易，所以本文的標的物以歐元/美元匯率為例，介紹了目前時下很多法人經常操作的兩種類型的結構型商品「累加期權契約」和「目標贖回遠期契約」，內容包含累加期權契約類型的三檔商品及目標贖回遠期契約類型的九檔商品…共十二檔商品的整理與分析，期望投資人可以對它有多一些的認識。在累加期權契約類型中，我挑選了「累加期權雙出局契約」，估計波動度採用了”牛頓法”取得隱含波動，使用”動差配適法”降低商品變異數，運用”蒙地卡羅模擬”計算商品的敏感度和暴險金額評估，並探討了波動度對商品的影響。在目標贖回遠期契約中，我挑選了「AKO計數目標遠期」，估計波動度採用了”歷史波動度”，使用”反向變異數法”降低商品變異數，及”蒙地卡羅模擬”計算商品的敏感度和暴險金額評估。我試圖調整商品條件，以達到讓商品成為對投資人有利的交易條件，以利投資人在投資前更能了解商品的風險與獲利。 ;Abstract The ever-changing variety of financial investment pipeline and investment tools in economic environment, but the nature of the financial product does not seem to change much, Interest rate derivative products for the bulk trading volume, foreign exchange transaction in again.So the subject matter of this paper, for example, the EURO / USD exchange rate, The two types of structured note are "Accumulator Contract" and "Target Redemption Forward Contracts" have lot of the regular operation of corporate . Contains the accumulator contents of three Option Contract type Products and the type of target redemption forward contracts of nine Option Contract type Products ... twelve Products collation and analysis of commodities, investors can expect some understanding of what it. In accumulator Contract type I selected「Accumulator Double Knock-out Contract, 」the volatility using the" Newton′s method " to obtain the implied volatility, use the" Moment Method, " Lower variance, the use of" Monte Carlo "Calculating sensitivity and value at risk amount, and the effects of volatility for products. Target redemption forward contracts, I chose「AKO Counting Target Forward,」 the volatility using the "historical volatility", using "Antithetic Method " lower variance, and "Monte Carlo " Calculating sensitivity and value at risk amount . I tried to adjust the product condition so as to achieve commodity becomes favorable for investors trading conditions. The investors must understand the products′ risk and profit before investing.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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