The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities
碩士 === 東吳大學 === 財務工程與精算數學系 === 100 === This thesis employs the idea of foreign currency guaranteed structured product, assuming that the underlying stock index and exchange rate are stochastic .We also analyze the volatility of stock and exchange rate of the product follows stochastic volatility pro...
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ndltd-TW-100SCU053140192015-10-13T21:12:28Z http://ndltd.ncl.edu.tw/handle/36133306660571004341 The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities 隨機波動外幣保本型結構商品之評價與風險分析 Pai-Chen Lo 羅百蓁 碩士 東吳大學 財務工程與精算數學系 100 This thesis employs the idea of foreign currency guaranteed structured product, assuming that the underlying stock index and exchange rate are stochastic .We also analyze the volatility of stock and exchange rate of the product follows stochastic volatility process which proposed by Heston(1993).The Monte Carlo simulation method are also employed for pricing and assessing the Value at Risk (VaR) of the product. Moreover, regression model and sensitivity analysis are applied to explain the degree of size and direction of various parameters of the price and VaR. Therefore, the study results provide reference on the investment of related products. Chung-Gee Lin 林忠機 2012 學位論文 ; thesis 44 zh-TW |
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碩士 === 東吳大學 === 財務工程與精算數學系 === 100 === This thesis employs the idea of foreign currency guaranteed structured product, assuming that the underlying stock index and exchange rate are stochastic .We also analyze the volatility of stock and exchange rate of the product follows stochastic volatility process which proposed by Heston(1993).The Monte Carlo simulation method are also employed for pricing and assessing the Value at Risk (VaR) of the product. Moreover, regression model and sensitivity analysis are applied to explain the degree of size and direction of various parameters of the price and VaR. Therefore, the study results provide reference on the investment of related products.
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Chung-Gee Lin |
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Chung-Gee Lin Pai-Chen Lo 羅百蓁 |
author |
Pai-Chen Lo 羅百蓁 |
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Pai-Chen Lo 羅百蓁 The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities |
author_sort |
Pai-Chen Lo |
title |
The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities |
title_short |
The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities |
title_full |
The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities |
title_fullStr |
The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities |
title_full_unstemmed |
The Pricing and Risk Analyses on Foreign Currency Guaranteed Structured Product under Stochastic Volatilities |
title_sort |
pricing and risk analyses on foreign currency guaranteed structured product under stochastic volatilities |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/36133306660571004341 |
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