A Study of The Risk of Gold and It’s Derivatives

• Main Authors: Ting-ChienChuahg, 莊婷倩
• Other Authors: Shih-Yu Shen
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/82523177373287795445

碩士 === 國立成功大學 === 數學系應用數學碩博士班 === 102 === This study investigates the factors that affect the international gold price, and observes the trading status of Taiwan gold and arranges the categories of gold derivative financial instruments. We calculated gold price volatility and plotted the price of gold probability models based on the gold prices of the past two decades. Using calculated gold price volatility with the Black-Scholes option pricing formula and boundary element method draws the probability density function graph of gold instruments under different assumptions, and then calculates the risk for consumers to buy gold option instruments of Taiwan Stock Exchange and the derivative financial instruments of private financial institutions. Finally, this study discusses the rationality and application of the results based on the status of market.