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| 研究生： |
徐士翔 Shih-Hsiang Hsun |
|---|---|
| 論文名稱： |
美式重設認購權證評價與蒙地卡羅方法 Reset Warrants Pricing, Reset Terms, and Liquidity Cost |
| 指導教授： |
俞明德
Min-Teh Yu |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 財務金融學系 Department of Finance |
| 畢業學年度： | 88 |
| 語文別： | 中文 |
| 論文頁數： | 43 |
| 中文關鍵詞： | 認購權證 、美式 、蒙地卡羅方法 、重設 |
| 外文關鍵詞： | warrant, american style, Monte Carlo, reset |
| 相關次數： | 點閱：12 下載：0 |
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利用蒙地卡羅方法評價美式重設認購權證，並探討各項重設條款對於權證價格的影響，以及嘗試討論流動性成本概念與最適重設比率的關係。
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Hull,J.(1997),"Options, Futures and Other Dervative Securites, "4rd edition,Prentice Hall.
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Tilley, J.A.,(1993),"Valuing American Options in a Path Simulation Model," Trans.Society of Actuaries,pp.83-104.
