臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：信用風險及利率風險下歐式組合型權證之近似評價
作者：許介文
作者(外文)：Jen-wen Sheu
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：周百隆
許永明
學位類別：博士
出版日期：2009
主題關鍵詞：信用風險；組合型權證；利率風險；Credit risk；Basket warrant valuation；Interest rate risk
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:48
摘要
近幾年由於全球金融市場之自由化，產生了許多經濟上不確定之因素。為了滿足投資人更多避險之需求，因而發展出許多衍生性金融商品。在衍生性金融商品中，組合型權證(Basket warrant)是屬於高槓桿操作，選擇權形式之金融工具。在衍生性商品評價中，組合型權證一直是缺乏信用風險考量的評價公式(Genlte, 1993; Huynh, 1994; Milevsky and Posner, 1998)。在考慮信用風險之類別中(Klein and Inglis, 1999; Klein, 1996)，現有評價公式均屬單一型權證(Single-tock warrant)，無法直接用於有信用風險之組合型權證評價。
本文探討連續時間模型下，同時考慮信用風險、利率風險，以及不同風險性資產間之關連性；利用平賭過程法(Martingale method) 推導脆弱歐式組合型認購權證(Vulnerable european basket warrants)的買權及賣權之近似評價公式，來填補信用風險下組合型權證評價不足之處，並證明此評價公式為相關權證評價公式之一般解(General solution)，不但可以省去重新推導評價公式之困擾，而且在評價公式之計算上更加的方便。最後，以數值範例(Numerical examples)，利用Cox et al. (1985a) CIR利率模型，假設在不同股價、權重、波動度及資產相關性條件下，說明對脆弱歐式組合型權證價格之影響。
此評價公式的驗證及結果如下:當組合型權證中股價波動度越大或波動度越大的股價佔組合權重越高時，脆弱歐式組合型權證買權價格越大。當公司負債比率越高時，脆弱歐式組合型權證買權價格遞減。當公司資產價值與股價呈現高度負相關時，脆弱與非脆弱歐式組合型買權價格差異大，並且股價波動度越大時其價差越大。公司資產價值與利率之相關性，由於權證有效期間很短，對脆弱歐式組合型買權價值之影響有限。當權證標的個股為負相關時，可減少權證之組合風險，使得脆弱歐式組合型買權之權利金較低。此評價公式不僅將組合型權證與不同風險因素之影響加以整合，而且優於Klein and Inglis(1999)脆弱歐式單一型權證在評價之詮釋，在應用上更為廣泛且具有彈性。
ABSTRACT
Recently, a free global financial market has resulted in many economic uncertainties. To meet the need of hedging among more investors, financial derivatives have therefore been developed. Among those derivatives, basket warrants are of high leverage trading and options. In the evaluations of derivatives, basket warrants have long been lacking a formula to properly evaluate credit risk (Genlte, 1993; Huynh, 1994; Milevsky and Posner, 1998). In the consideration of credit risks (Klein and Inglis, 1999; Klein, 1996), current evaluation formulae are aiming at single-stock warrants and cannot be directly applied in the evaluation of basket warrants with high credit risks.
Under a consecutive time model, this dissertation considers credit, interest rate risks and the relationships between properties with different risks; it also adopts martingale method to deduct an evaluation formula of call and put options of the vulnerable European basket warrants to make up for the deficiencies of basket warrants under different credit risks. Through examination, the deducted formula proposed in this dissertation proves to be a general solution to related evaluation formulae of warrants; it saves the trouble of re-deducting another new evaluation formula in the future and is more efficient in the process of calculation. Finally, this dissertation gives numerical examples and uses the interest rate model of Cox et al. (1985a) to illustrate the influences on the price range of vulnerable European basket warrants under different stock prices, weights, volatility of stock prices and asset-related conditions.
The result of this evaluation formula goes as follows: the higher the price volatility of basket warrants or the percentage of stocks with high volatility, the higher the call options of basket warrants. When the debt ratio of the issuing firm is higher, the call option prices of the vulnerable European basket warrants are lower. While the value of the firm is in negative correlation with the stock price, the prices of call options of the vulnerable and non-vulnerable European basket warrants vary greatly; the higher the volatility of stock prices, the greater the prices vary. Due to the short-term validity of warrants, the value of a firm and the interest rate has limited influence on that of call options of the vulnerable European basket warrants. When the stocks targeted at by the warrants show their negative correlations, they can reduce the risks of different combinations of warrants, lowering the premium of the call options of the vulnerable European basket warrants. This evaluation formula not only combines basket warrants with different risk factors, but is more elastic and superior to the interpretation of the vulnerable European basket warrants offered by Klein and Inglis (1999) and can be more widely applied.
參考文獻
一、中文部分
1. 江明憲與蘇芳姬，2005, “考慮信用風險之台灣認購權證評價”，中山管理評論，第13卷，第2期，頁645-666。
2. 呂桔誠，廖四郎與王昭文，2003，“組合型選擇權之評價與其在投資組合避險策略上之風險”，亞太經濟管理評論，第6卷，第2期，頁1-20。
3. 周麗娟，陳勝源與楊朝成，2004，“考量信用風險下備兌型認購權證之評價”，臺大管理論叢，第14卷，第1期，頁263-288。new window
4. 陳松男與鄭翔尹，1999，“組合型權證的正確評價與避險方法”，證劵市場發展季刊，第11卷，第4期，頁1-23。
二、英文部分
1. Alziary, B., J. Decamps and P. Koehl, 1997, “A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence,” Journal of Banking and Finance, vol. 21, pp. 613-640.
2. Black, F., and J. C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, vol. 31, pp. 351-367.
3. Black, F., and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, vol. 81, pp. 637-654.
4. Borovkova, S., F. J. Permana and H. V. D. Weide, 2007, “A Closed form Approach to the Valuation and Hedging of Basket and Spread Options,” The Journal of Derivatives, vol. 14, pp. 8-24.
5. Cox, J. C, J. E. Ingersoll and S. A. Ross, 1985a, “A Theory of Term Structure of Interest Rates,” Econometrica, vol. 53, pp. 363-384.
6. Duffie, D., and K. J. Singleton, 1999, “Modeling Term Structures of Defaultable Bonds,” The Review of Financial Studies, vol. 12, no. 4, pp. 687-720.
7. Flamouris, D., and D. Giamouridis, 2007, “Approximate Basket Option Valuation for A Simplified Jump Process,” The Journal of Futures Markets, vol. 27, pp. 819-837.
8. Geman, H., N. EI. Karoui and J. C. Rochet, 1995, “Change of Numeraire, Change of Probability Measures and Pricing of Options,” Journal of Applied Probability, vol. 32, pp. 443-458.
9. Gentle, D., 1993, “Basket Weaving,” Risk, vol. 6, pp. 51-52.
10. Heath, D. C., R. A. Jarrow and A. J. Morton, 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica, vol. 60, pp. 77-105.
11. Hull, J., and A. White, 1990a, “Pricing Interest Rate Derivative Securities,” The Review of Financial Studies, vol. 3, pp. 573-592.
12. Hull, J., and A. White, 1993b, “Efficient Procedures for Valuing European and American Path-Dependent Options,” The Journal of Derivatives, vol. 1, pp. 21-31.
13. Hull, J. and A. White, 1995, “The Impact of Default Risk on the Prices of Options and other Derivatives Securities,” Journal of Banking and Finance, vol. 19, pp. 299-322.
14. Hui, C. H., C. F. Lo, and H. C. Lee, 2003, “Pricing Vulnerable Black-Scholes Options with Dynamic Default Barriers,” The Journal of Derivatives, vol. 10, pp. 62-69.
15. Hung, M. W., and Y. H. Liu, 2005, “Pricing Vulnerable Options in Incomplete Markets,” The Journal of Futures Markets, vol. 25, pp. 135-170.
16. Huynh, C. B., 1994, “Back to Baskets,” Risk, vol. 7, pp. 55-61.
17. Jarrow, R. A., and S. M. Turnbull, 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, vol. 50, pp. 53-85.
18. Jarrow, R. A., D. Lando, and S. M. Turnbull, 1997, “A Markov Model for the Term Structures of Credit Risk Spreads,” The Review of Financial Studies, vol. 10, no. 2, pp. 481-523.
19. Johnson, H., and R. Stulz, 1987, “The Pricing of Options with Default Risk,” Journal of Finance, vol. 42, pp. 267-280.
20. Karatzas, I., and S. Shreve, 1991, Brownian Motion and Stochastic Calculus, Springer-Verlag.
21. Kemna, A., and A. Vorst, 1990, “A Pricing Method for Options Based on Average Asset Values,” Journal of Banking and Finance, vol. 14, pp. 113-129.
22. Klein, P. C., 1996, “Pricing Black-Scholes Options with Correlated Credit Risk,” Journal of Banking and Finance, vol. 20, pp. 1211-1229.
23. Klein, P. C., and M. Inglis, 1999, “Valuation of European Options Subject to Financial Distress and Interest Rate Risk,” The Journal of Derivatives, vol. 6, pp. 44-56.
24. Lando, D., 1998, “On Cox Processes and Credit Risky Securities,” Review of Derivatives Research, vol. 2, pp. 99-120.
25. Levy, E., 1992, “Pricing European Average Rate Currency Options,” Journal of International Money and Finance, vol. 11, pp. 474-491.
26. Longstaff, F. A. and E. S. Schwartz, 1995, “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt,” Journal of Finance, vol. 50, pp. 789-819.
27. Merton, R. C., 1974, “On the Pricing of Corporate Debt,” Journal of Finance, vol. 29, pp. 449-470.
28. Milevaky, M. A., and S. E. Posner, 1998, “A Closed-Form Approximation for Valuing Basket Options,” Journal of Derivatives, vol. 5, pp. 54-61.
29. Overbeck, L. and W. Schmidt, 2005, “Modeling Default Dependence with Threshold Models,” The Journal of Derivatives, vol. 12, pp. 10-19.
30. Rubinstein, M., 1991, “Somewhere Over the Rainbow,” Risk, vol. 4, pp. 63-66.
31. Smith, C. W., Jr., 1976, “Option Pricing: A Review,” Journal of Financial Economics, vol. 3, pp. 3-54.
32. Vasicek, O., 1977, “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, vol. 5, pp. 177-188.
33. Vorst, T. M., 1992, “Prices and Hedge Ratios of Average Exchange Rate Option,” International Review of Financial Analysis, vol. 1, pp. 179-194.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：398（臺灣：395，外國：3） ／ 本年度總使用人次：2219088 ／ 訪客人次（自102年09月）：68024676
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上