Title page for 974308021


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Student Number 974308021
Author Shou-Ping Wang(王守平)
Author's Email Address spwang0418@gmial.com
Statistics This thesis had been viewed 873 times. Download 653 times.
Department Executive Master of Finance Management
Year 2009
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title The Pricing of Structured Notes : Applying Least-Squares Monte Carlo Approach
Date of Defense 2010-06-23
Page Count 51
Keyword
  • American options
  • least-squares Monte Carlo simulation
  • structured notes
  • Abstract Due to constant changes in global financial products, how to select a reliable structured note is important to investors. How to set the reasonable hedge ratio before product kickoff is also important to issuers. The purpose of this research is to analyze the performance of structured notes and to improve the accuracy for pricing American options via Monte Carlo simulation. The least-squares Monte Carlo approach proposed by Longstaff and Schwartz (2001) claimed to price American options with complex derivatives. However, it seems difficult to apply this approach in choosing the optimal regression settings, including different basis functions and the degree of these basis functions. This paper first combines the power polynomials with optimal exercise boundary as modified optimal exercise rule. The results in the single asset imply that the modified rule with optimal exercise boundary can decrease nearly 10% RMSE when using the square degree of power polynomials. The second part of this paper is case study. In order to find the reset probability for the call warrant, the two Monte Carlo simulation systems are used in this research. For the final ELN case, we analyze the tendency of price when changing the number and the amplitude of correlation factors together with different payoffs. With these results, this paper aims to bring contributions to issuers and investors.
    Table of Content 中文摘要                        i
    英文摘要                        ii
    誌謝            iii
    目錄            iv
    圖目錄           vi
    表目錄           vii
    符號說明          viii
    第一章 緒論      1
       1-1 前言 1
       1-2 研究動機 2
       1-3 研究架構 2
    第二章 文獻回顧   3
       2-1 蒙地卡羅模擬法3
        2-1-1 單資產選擇權價值之模擬3
        2-1-2 多資產選擇權價值模擬4
        2-1-3反向變數法在蒙地卡羅法上之應用6
       2-2 蒙地卡羅模擬法之優缺點7
    第三章 研究方法9
       3-1 最小平方蒙地卡羅模擬法9
       3-2 深度價內選擇權價格低估現象11
       3-3 最適履約決策-以單資產為例12
       3-4模擬設計13
       3-5 多資產-以買權(Max-Calls on N Assets)為例18
       3-6 增加區塊個數對價格之影響18
    第四章 個案分析21
       4-1 案例分析-以單一資產為例21
        4-1-1 股價模擬路徑系統22
        4-1-2 上市日觸及履約價格重設條件的機率22
        4-1-3 不同情境下權證價格比較23
        4-1-4 討論24
       4-2 案例分析-以多資產為例31
    4-2-1產品簡介         32
        4-2-2 本商品主要風險33
        4-2-3 情境分析     34
        4-2-4 商品拆解     35
        4-2-5 各種情境機率分析36
        4-2-6 現金流量分析39
        4-2-7 敏感性分析40
    第五章 結論43
    參考文獻     45
    附錄一      46
    Reference [1]張森林、何振文 (2002),“蒙地卡羅模擬法在美式選擇權評價
      之應用”,財務金融學刊,第十卷,第三期,第33-61頁。
    [2]林忠機、張傳章、俞明德和黃一仁 (2006),“具有隱含選擇權
      之海外可轉換公司債評價分析”,財務金融學刊,第十四卷,第
      三期,第35-68頁。
    [3]王克陸、許明峰、遲廷峻 (2008),“樹狀模型對美式亞式選擇
      權評價之比較分析”,台灣期貨與衍生性商品期刊,第6期,第
      1-27頁。
    [4]張焯然,財務工程與金融計算MATLAB的應用,財團法人中華民國
      證劵暨期貨市場發展基金會,台北市,民國九十六年。
    [5]Andersen, L., and Mark Broadie (2004), “Primal-Dual
      Simulation Algorithm for Pricing Multidimensional 
      American Options”, Management Science, Vol.50, No.5,
      pp.1222-1234.
    [6]Boyle, P. P. (1977), “Options: A Monte Carlo
      Approach”, Journal of Financial Economics, Vol.4,
      pp.323-338.
    [7]Giovanni, B. A., and R. E. Whaley(1987), “ Efficient
      Analytic Approximation of American Option Values”, The
      Journal of Finance, Vol. XLII, No.2, pp.301-320.
    [8]Gray, S. F., and Whaley, R. E. (1999), “Reset Put
      Options: Valuation, Risk, Characteristics, and an
      Application”, Australian Journal Management, Vol.24,
      No.1, pp.1-20.
    [9]Ji, Kai-Yi (2008), “An Improved Least Squares Monte
      Carlo Approach for Pricing Various Types of Options”,
      國立高雄第一科技大學金融營運所,碩士學位論文。
    [10]Longstaff, F. A., and E. S. Schwartz (2001), “Valuing
      American Options by Simulation: A Simple Least-Squares
      Approach”, The Review of Financial Studies, Vol.14,
      No.1, pp.113-147.
    [11]Moreno, M., and J. F. Navas (2003), “On the
      Robustness of Least-Squares Monte Carlo(LSM) for
      Pricing American Derivatives”, Review of Derivatives
      Research, Vol.6, pp.107-128.
    [12]Rogers, L. C. G. (2002), “Monte Carlo Valuation of
      American Options”, Mathematical Finance, Vol.12,
      No.3, pp.271-286.
    Advisor
  • Chuang-Chang Chang(張傳章)
  • Files
  • 974308021.pdf
  • approve in 2 years
    Date of Submission 2010-07-19

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