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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/68508

    Title: 結構型商品之評價與分析-以外匯型累加期權及目標贖回遠期為例
    Authors: 林雅萍;Lin,Ya-ping
    Contributors: 財務金融學系在職專班
    Keywords: 單界限;雙界限;外匯選擇權;蒙地卡羅模擬法;累加期權;目標贖回遠期;Single Barrier;Double Barrier;FX Option;Monte Carlo Simulation;Accumulator;Target Redemption Forward
    Date: 2015-07-14
    Issue Date: 2015-09-23 11:57:53 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 摘要
    The ever-changing variety of financial investment pipeline and investment tools in economic environment, but the nature of the financial product does not seem to change much, Interest rate derivative products for the bulk trading volume, foreign exchange transaction in again.So the subject matter of this paper, for example, the EURO / USD exchange rate, The two types of structured note are "Accumulator Contract" and "Target Redemption Forward Contracts" have lot of the regular operation of corporate . Contains the accumulator contents of three Option Contract type Products and the type of target redemption forward contracts of nine Option Contract type Products ... twelve Products collation and analysis of commodities, investors can expect some understanding of what it.
    In accumulator Contract type I selected「Accumulator Double Knock-out Contract, 」the volatility using the" Newton′s method " to obtain the implied volatility, use the" Moment Method, " Lower variance, the use of" Monte Carlo "Calculating sensitivity and value at risk amount, and the effects of volatility for products.
    Target redemption forward contracts, I chose「AKO Counting Target Forward,」 the volatility using the "historical volatility", using "Antithetic Method " lower variance, and "Monte Carlo " Calculating sensitivity and value at risk amount . I tried to adjust the product condition so as to achieve commodity becomes favorable for investors trading conditions. The investors must understand the products′ risk and profit before investing.
    Appears in Collections:[財務金融學系碩士在職專班] 博碩士論文

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