AHP應用於外幣選擇權投資策略之研究-以國際金融業務分行(OBU)為例

The Study of Investment Strategies for Foreign Currency Options by Applying AHP -An Example of OBU

汪美香(Mei-Hsiang Wang) ； 許溪南(His-Nan Hsu)

《企業管理學報》 46期 (2000/04) Pp. 115-134

摘要

國際金融業務分行(Offshore Banking Unit, OBU)從事外匯交易活動應客戶之需求以中介之立場參與市場，或為迴避風險軋平部位，或為求額外之利潤而從事套利。目前所承做之業務主要有外幣信用狀、外幣保證、承兌、票據貼現、保證金交易、利率互換、遠期利率合約、選擇權及金融期貨等，而其中以外幣選擇權之操作，規避現貨市場交叉匯兌風險最為常見。本研究擬針對OBU之交叉匯兌交易搭配外幣選擇權之操作建構相關的投資策略，利用層級分析法(Analytic Hierarchy Process, AHP)，將複雜的投資問題予以結構化，並提出一易於使用之系統化演算法，對複雜的評估準則進行整體性之分析比較，期幫助管理階層獲得較佳的投資決策。

關鍵字

外幣選擇權 ； 國際金融業務分行 ； 層級分析法

並列摘要

In conducting activities of foreign currency transactions, OBUs play the role of intermediator for customers, or the role of hedger by offsetting positions that are exposed to the risk, or the role of arbitrageur for arbitrage profits. Among major business such as LC, guarantee, acceptance, bank discount, margin transaction, interest-rate swap, forward, options, and financial futures, OBUs often use option strategies to hedge cross exchange rate risk in spot markets. The purpose of this paper is to provide a framework of relevant investment strategies for OBUs in conducting the activities of cross exchange transactions with option strategies. By using Analytic Hierarchy Process (AHP), we are able to structurize the investment decisions, and to provide a systematic algorithm to analyze these problems which involve complicated criteria. We hope this method will help management to achieve better investment decisions.

並列關鍵字

Currency options ； Offshore Banking Unit ； Analytic Hierarchy Process