本研究將以衍生性金融商品之奇異選擇權(exotic option)中的目標遠期可贖回契約(target redemption forward)為主要研究對象，以人民幣遠期可贖回契約為主要研究對象，假設有兩種狀態(regime)，利用馬可夫狀態轉換模型(Markov regime switching model)模擬每期路徑相依的匯率變化，使用蒙地卡羅模擬法計算出每期現金流量報酬的折現價格，並利用比較靜態分析，比較在不同合約時間長短的TRF價格是如何變動，最後比較固定狀態0的機率變動狀態1機率的價格變化，而後再固定狀態1變動狀態0的價格變化。

Our research focus on Target Redemption Forward in Exotic. We use Markov regime switching model to simulate the exchange price, and compare whether static price is reasonable or not. We assume that there are two regimes(regime0, regime1), and fix one regime and variate the other regime in different probability to find the present price. We also find the price changes in different maturity.

目錄
目錄 i
圖表目錄 ii
摘要 iii
一、緒論 1
(一) 研究背景 1
(二) 研究動機 3
二、 文獻回顧 7
三、研究方法 9
四、數值分析 11
五、結論 17
六、參考文獻 18

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