組合型選擇權之評價及其在投資組合避險策略上之應用

Pricing Basket Option and It's Application to Hedging Strategies of Investment Portfolio

呂桔誠 ； 廖四郎 ； 王昭文

《亞太經濟管理評論》 6卷2期 (2003/03) Pp. 1-20

https://doi.org/10.30087/APEMR.200303.0001

摘要

本文推導出在隨機利率經濟體系下，無套利條件之組合型選擇權的近似封閉解。而後我們將組合型選擇權之觀點運用於投資組合保險及風險控管上。在法令限制，或者是在資本市場上無法找到符合投資組合需求之契約的情形下，我們提供了一個利用複製組合型賣權來保障投資組合的方法，同時此投資組合亦能滿足投資人最低報酬率的要求。

關鍵字

組合型選擇權 ； 投資組合保險 ； 避險策略 ； 隨機利率

並列摘要

This paper presents a no-arbitrage model of closed-form approximation for valuing basket options under a stochastic interest rate economy. Then, we expand this basket-option concept into portfolio insurance and risk management. Under legal constraints or unavailable to find a customized contract in the capital market, we suggest a method of synthetic basket put to insure the investment portfolio which is claimed to match the minimum required rate of return by the investors.

並列關鍵字

Basket Options ； Portfolio Insurance ； Hedging Strategies ； Stochastic Interest Rates

參考文獻

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