标题: 台湾牛熊证之定价与避险策略
The Pricing and Hedging Strategies of Callable Bull/Bear Contracts in Taiwan
作者: 李彦颖
郭家豪
财务金融研究所
关键字: 牛熊证;定价;避险策略;最佳化静态避险;Callable Bull/Bear Contracts (CBBCs);Pricing;Hedging Strategies;Optimized Static Hedging
公开日期: 2011
摘要: 本文一开始先介绍台湾牛熊证的运作机制,并由香港牛熊证的定价模型,延伸出台湾牛熊证的定价公式。此外,由于牛熊证是台湾金融市场上的新衍生性金融商品,投资人及券商都非常关注其风险议题,因此本文也针对发行商的避险机制加以探讨,讨论简单避险、动态避险、及最佳化静态避险三种不同的避险策略之下,台湾牛熊证的避险效果,并用台湾加权股价指数实证之。研究结果显示,相较于其他避险策略,动态避险误差及动态避险成本较为稳定,其避险效果较佳。
This paper introduces the mechanism of callable bull/bear contracts (CBBCs) in Taiwan, and then derives the pricing formula from pricing model of CBBCs in Hong Kong. Since CBBC is a new financial derivative traded in Taiwan, not only investors but security firms pay close attention to the issue of risk control. Therefore, this paper also focuses on the hedging methods from CBBCs issuer’s point of view. To discuss the hedging performances of CBBCs in Taiwan, we examine simple hedging, dynamic hedging, and optimized static hedging strategies, and do empirical research on the three hedging strategies using Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). The result shows that dynamic hedging outperforms the other two hedging strategies, as the discounted hedging error and the hedging cost of dynamic hedging are relatively more stable.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079939503
http://hdl.handle.net/11536/50278
显示于类别:Thesis