浮動匯率連動極大值選擇權

Floating Exchange-Rate Linked Options on the Maximum of Several Assets

10.30003/JRM.200303.0001

陳松男(Son-Nan Chen)；薛兆雯(Chao-Wen Shei)

極大值選擇權 ； 浮動匯率 ； 寬它選擇權 ； 避險參數 ； Delta1 ； Delta2 ； Gamma1 ； Gamma2 ； Gamma12

風險管理學報

5卷1期（2003 / 03 / 01）

1 - 24

繁體中文

本論文介紹一種創新的金融商品，將一般類型的極大值選擇權與匯率連動，形成匯率連動極大值選擇權。並推導出評價模式與避險參數。此外，進行理論模型及避險參數的數值分析，這更能清楚掌握此類型選擇權的價格行為及風險特徵。本論文的結果在金融商品創新方面應有一定程度的貢獻。

This paper introduces a new financial product in which options on the maximum of several assets are linked to floating exchange rates. The pricing models and hedging parameters of the exchange-rate linked options on the maximum of several assets are derived. Numerical analysis is thoroughly carried out for the theoretical models and hedging parameters. The results of the analysis are should deepen our understanding of the price behavior and risk features of these options. The results should have some degree of contributions to the innovations of financial products.

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