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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 會議論文 >  Valuation and Hedging Strategies of Exchange Options on Nontraded Assets

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62044

    Title: Valuation and Hedging Strategies of Exchange Options on Nontraded Assets
    Authors: Mao-wei Hung;Leh-chyan So
    教師: 索樂晴
    Date: 2005
    Publisher: Multinational Finance Society & Journal
    Relation: 12th Annual Conference of Multinational Finance Society,Multinational Finance Society & Journal,2005
    Keywords: finance
    investment analysis
    Abstract: A pricing formula for exchange options on nontraded assets is discussed in this paper. In comparison with Margrabe (1978), our pricing formula contains two additional parameters which were the result from the introduction of the two tradable assets with relationship to the two nontraded underlying assets. In addition, the hedging strategy and value function of an agent whose portfolio contains two tradable assets and an exchange option on nontraded assets are derived.We conclude that for hedging purpose, the optimal position for one tradable asset needs to be modified downward, while that of the other needs to be modified in the opposite direction. And the amount of the modification depends on the relationship between the nontraded asset and its tradable counterpart.
    URI: http://mfs.rutgers.edu/MFC/MFC12/mfcindex/files/MSCRIPT2005/MFC-038.pdf
    Appears in Collections:[計量財務金融學系] 會議論文

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