Analysis of American Discrete Barrier Option with Stochastic Rebate

隨機償金美式障礙選擇權

10.6545/JoFS.2001.9(1).2

薛立言(L. Paul Hsueh)

上限選擇權 ； 間斷觀察 ； 隨機償金 ； Barrier options ； discrete monitoring ； stochastic rebate

中國財務學刊

9卷1期（2001 / 04 / 30）

27 - 46

英文

國內市場近來出現了創新設計的上限型認購權證，特點在於其隨機償金的提早出局條件。相關文獻對於上限選擇權之研究雖然為數不少，但是僅考慮了固定償金的設計，因此隨機償金對於權證價值及其避險操作上之影響，自然成為實務及學理上重要之研究課題。本文針對美式隨機償金上限選擇權提出新的評價模式，分析比較此種新型權證與傳統固定償金設計間之差異以及其對評價及避險之影響，進而提出實務上之建議。

Unlike standard barrier options that pay a fixed amount of cash rebate when they are knocked out, a new type of American-style covered warrants appeared in Taiwan that has the unique feature of stochastic cash rebate. Available pricing models are not directly applicable to options with this innovative rebate specification and it is not clear if and how stochastic rebate affects its pricing and hedging operation. This article develops a valuation model that specifically considers the discrete nature of barrier monitoring and analyzes the impact of stochastic rebate on the pricing and hedging of barrier options. Our findings suggest that both the value and hedge parameters of this type of warrants can differ significantly from that of their fixed-rebate counterparts and it is therefore critical for both investors and issuers to account for this stochastic-rebate specification correctly when dealing with this type of option contracts.

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