| 姓名 |
林聖筑(Sheng-Chu Lin)
查詢紙本館藏 |
畢業系所 |
財務金融學系 |
| 論文名稱 |
目標可贖回遠期合約之評價與分析
(The Pricing and Analysis of Target Redemption Forwards)
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| 相關論文 | |
| 檔案 |
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[Bibtex 格式]
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| 摘要(中) |
本研究以Commerzbank AG出版之匯率衍生性商品說明書中之一系列目標可贖回遠期合約(Target Redemption Forward,TRF)為標的。包含標準型TRF (Standard Target Forward)、計次型TRF(Counting Target Forward)、保護槓桿型TRF(Protection Leverage Target Forward)、加碼型TRF(Booster Target Forward)、紅利型TRF(Bonus Target Forward)、雙元出場型TRF(Dual Target Forward)等六種TRF商品。透過Black-Scholes Model與蒙地卡羅模擬法，對此系列商品做出完整的評價與分析。
本文第四章對上述六種TRF商品進行評價與商品分析。投資人持有TRF商品的平均勝率都非常高，但平均損失與獲利金額相差非常大，損失獲利比很大，屬於小賺大賠型商品。敏感度分析方面，波動度與商品價值呈現負相關；利率對商品價值之影響則須考慮合約匯率方向；合約期間長短與商品價值呈現負相關；累積目標值與商品價值呈現非線性相關。
本文第五章對上述六種不同形式之TRF商品進行商品的交叉分析比較。計次型TRF商品相較於標準型TRF商品，投資人勝率與商品價值較高；加入保護匯率區間，有效減少投資人損失機會，商品價值上升；加入加碼匯率，有效資加投資人獲利金額，商品價值上升；在相同的契約架構下，加碼型TRF商品較保護型TRF商品，更能提升投資人勝率與商品價值；不同的獲利給付條件，在不同市場環境下存在相反的效果。波動度低時，紅利型TRF商品相較於保護型TRF，提供較高的商品價值。波動度高時，保護型TRF商品相較於紅利型TRF，提供較高的商品價值。整體而言，以累計獲利次數作為出場條件，更容易達到提前出場條件，有效降低損失無上限的風險，Counting Target Forward擁有較高的商品價值，對於投資人較為有利。 |
| 摘要(英) |
With Black-Scholes Model and Monte Carlo Approach, this paper does a complete evaluation and analysis on the derivatives, Target Redemption Forward (TRF), in Commerzbank AG, including Standard Target Forward, Counting Target Forward, Protection Leverage Target Forward, Booster Target Forward, Bonus Target Forward and Dual Target Forward.
The integrated comparisons and evaluations on these six TRF derivatives are in Chapter 4. The average win probabilities for holding TRFs are quite high, but there is a huge gap between the profit and the loss, which means that TRF belongs to the lower-gain and higher-loss type. On the other side, the volatility of TRF has a negative relationship with the value of TRF, the interest impact on the value of TRF need to take the exchange rate in contract into consideration, the contract period is negatively related to the value of TRF and the cumulated target value is nonlinear with the value of TRF.
In Chapter 5, it shows the results of cross comparison between Standard Target Forward, Counting Target Forward, Protection Leverage Target Forward, Booster Target Forward, Bonus Target Forward and Dual Target Forward: It can be told that the Counting Target Forward has higher win probabilities and value than Standard Target Forward. When the contracts consider to the protection leverage, it can effectively reduce the loss and raise the commodities value for investors. Taking the overweight exchange rate into the contract, the profit and commodities value effectively increase for investors. In the same structure of contracts, Booster Target Forward can raise more winning probabilities than Protection Leverage Target Forward. There are adverse effects in different market with different paying conditions. And when there is higher volatility, Bonus Target Forward has lower commodity value than Protection Target Forward. In general, take Counting Target Forward be the appearance condition, it is more easy to achieve the appearance condition in addition and can effectively reduce the risk of loss. That is, Counting Target Forward has higher commodity value for the investors. |
| 關鍵字(中) |
★ 目標可贖回遠期合約
★ 匯率
★ 蒙地卡羅模擬 |
關鍵字(英) |
★ Target Redemption Forward (TRF)
★ Exchange rate
★ Monte Carlo Approach |
| 論文目次 |
目錄
中文摘要..................................................................i
英文摘要.................................................................ii
致謝辭..................................................................iii
目錄.....................................................................iv
圖目錄...................................................................vi
表目錄....................................................................x
第一章 緒論..............................................................1
第一節 研究背景與動機................................................1
第二節 研究目的......................................................3
第三節 研究架構......................................................4
第二章 文獻回顧..........................................................6
第一節 結構型商品介紹................................................6
第二節 外匯型商品相關文獻探討........................................8
第三章 研究方法..........................................................9
第一節 外匯模型介紹..................................................9
第二節 蒙地卡羅模擬法...............................................11
第三節 歷史波動度估計方法...........................................13
第四章 TRF結構型商品評價與分析..........................................15
第一節 Commerzbank AG - Standard Target Forward......................15
第二節 Commerzbank AG - Counting Target Forward......................27
第三節 Commerzbank AG - Protection Leverage Target Forward...........39
第四節 Commerzbank AG - Booster Target Forward.......................52
第五節 Commerzbank AG - Bonus Target Forward.........................66
第六節 Commerzbank AG - Dual Target Forward..........................79
第五章 TRF結構型商品交叉比較............................................93
第一節 Standard Target Forward與Counting Target Forward之比較......94
第二節 Standard Target Forward與Protection Target Forward之比較....97
第三節 Standard Target Forward與Booster Target Forward之比較......101
第四節 Protection Target Forward與Booster Target Forward之比較....106
第五節 Protection Target Forward與Bonus Target Forward之比較......110
第六章 結論............................................................116
參考文獻................................................................122 |
| 參考文獻 |
參考文獻
中文文獻
1.陳松男(2004)，結構型金融商品之設計與創新，新陸書局
2.陳松男(2005)，結構型金融商品之設計與創新(二)，新陸書局
3.陳松男(2006)，初階金融工程學與Matlab，新陸書局
4.陳松男(2008)，金融數學與隨機微積分，新陸書局
5.陳松男(2008)，金融工程學(三版)，新陸書局
6.吳孟修(2010)，結構型商品之評價與分析-以匯率連結型商品為例，國立台北大學統計研究所碩士論文
7.丁于芝(2015)，結構型商品之評價與分析 ―以多資產股權連結結構型商品與保息型匯率連結結構型商品為例，國立中央大學財務金融學系碩士班碩士論文
8.吳允喬(2015)，結構型商品之評價與分析-以匯率連結型商品為例，國立中央大學財務金融學系碩士班碩士論文
9.吳學賢(2015)，人民幣衍生型商品DKO & TRF，國立中央大學財務金融學系在職專班碩士論文
10.陳怡伶(2015)，結構型商品之評價與分析-以匯率及多資產連結型商品為例，東吳大學財務工程與精算數學系碩士倫文
英文文獻
1.Amin,K.,& R.Jarrow.(1991).“Pricing Foreign Currency Options Under Stochastic Interest Rates”.International Journal of Money and Finance, 10,310–329.
2.Black,F.,& Scholes,M.(1993).”The Pricing of options and Corporate Liabilities”.Journal of Polittical Economy, 81,637-654.
3.Boyle,P.(1977).”Options: A Monte Carlo Approach”.Journal of Financial Economics, 4,232-338.
4.Garman,M.,& Kohlhagen,S.(1983).”Foreigen Currency Options Value”.Journal of International Money and Finance, 2,231-237.
5.Grabbe,J.(1983).”The Pricing of Call and Put Options on Foreign Exchange”.Journal of International Money and Finance, 2,239-253. |
| 指導教授 |
吳庭斌(Ting-Pin Wu)
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審核日期 |
2016-7-1 |
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