新金融商品個案研究-以累計股票期權交易為例

• Main Author: 胡恒愷
• Other Authors: 周奇勳
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/09904307483198981039

碩士 === 佛光大學 === 管理學系 === 101 === This thesis will derivatives and structured products do presentation and evaluation model for the "Monte Carlo simulation method," and the object of our study used financial products "Knock Out Discount Accumulator" to do complete instructions. Our study uses financial instruments as "cumulative stock options trading," which is a form of contract financial derivative instruments will generally enter into a period of time.In the contract with "Knock-out Price" and "Forward price."When the contract commencement, whenever an asset's market price and the Strike Price the Knock-out of inter-downs, investors will purchase a certain number of fixed Strike priced assets, but asset price is below the strike price, then investors will use twice the Strike Price the purchase price of assets, both must be sustained before the transaction to terminate the contract, only one condition can occur early termination contract is Knock-out when the asset price when the contract price exceeds stops. This research uses an evaluation model for the "Monte Carlo Simulations" instead of the traditional evaluation model, because "accumulated stock options trading" is not the typical financial products in the form, it has exotic options include path dependency and barrier options and other characteristics, the traditional evaluation model is not suitable for use, and "Monte Carlo simulation" it is a derivative of the price movements of stochastic process simulation, and further seek calculate the value of this method concept is based on the stock movements setting process to simulate a variety of possible future path. So we chose to use the Monte Carlo simulation model for the evaluation done, in this study, hoping by using "Monte Carlo simulation method" to calculate the closed form solution, and find a "Fair Price ."