English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113311/144292 (79%)
Visitors : 50925661      Online Users : 943
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33960


    Title: 緩長記憶效應下的選擇權評價
    Authors: 彭貴田
    Contributors: 郭維裕
    彭貴田
    Keywords: 緩長記憶
    碎形布朗運動
    Hurst 指數
    R/S分析
    碎形Black-Scholes選擇權評價
    Date: 2005
    Issue Date: 2009-09-17 18:55:11 (UTC+8)
    Abstract: 傳統效率市場假設股價的波動是隨機的,亦即股價是無法預測。 近來的文獻指出股價的波動是不完全是隨機的,且股價的波動具有緩長記憶(long memory)的特性。在本文中我們以R/S分析發現臺灣股市的Hurst指數為0.68,即具有趨勢持續性(trend persistent)之效果,根據此依特性,我們根據Necula(2002)的研究,來評價台股選擇權,發現此新評價模式產生之價格較接近市場價格。
    Reference: 1. Bachelier, La Th´oerie de la Sp´eculation [Ph.D. thesis in mathematics], (1900), Ann. Sci. Ecole Norm. Super., S´er. 3, 17, 21.
    2. Backus, D.K. and S.E. Zin, (1993), “long-memory inflation uncertainty: Evidence from the term structure of interest rates.” Journal of Money, Credit and Banking 25, 681-700.
    3. Baillie, R.T., (1996), “Long-memory processes and fractional integration in econometrics.” Journal of Econometrics 73, 5-5
    4. Baillie, R.T., C.-F. Chung, and M.A. Tieslau,( 1995), Analyzing inflation by the fractional integrated ARFIMA-GARCH model. Journal of Applied Econometrics 11, 23-40.
    5. Beran, J., (1994), “Statistics for Long-Memory Processes.” Chapman & Hall.
    6. Black, F., and M. Scholes, (1972) ”The Valuation of Option Contracts and a Test of Market Efficiency,” Journal of Finance, 27 - 2, May, 399 - 418.
    7. Black, F., and M. Scholes, (1973) “The pricing of options and corporate liabilities”, Journal of Political Economy , vol.81:3,637-54.
    8. Costa R. L. and Vasconcelos G. L. (2003), Physica A 329, 231.
    9. Di Matteo T., Aste T., M. Dacorogna M., Physica A 324, 183 (2003); Cond-Mat preprint 0302434, 2003.
    10. Diebold, F.X. and G.D. Rudebusch, (1989), “Long-memory and persistence in aggregate output.” Journal of Monetary Economics 24, 189-209.
    11. Embrechts, Paul and Makoto Maejima. (2002), “Selfsimilar Processes.” Princeton University Press.
    12. Fama E. F. (1965), “Tha Behavior of Stock-Market Prices,” The Journal of Business of the University of Chicago, 38, no.1
    13. Fama E. F. (1970), “Efficient capital market: A review”, J. Finance 383-417
    14. Fleming, J., (1998), "The quality of market volatility forecasts implied by S&P100 index options prices", Journal of Empirical Finance, vol.5, 317-345.
    15. Grant, D., G. Vora, and D. Weeks, (1996), "Simulation and the Early-Exercise Option Problem," Journal of Financial Engineering, vol.5(3), 211-227.
    16. Grau-Carles P. (2000), Physica A , 287-396.
    17. Harrison, M. and D. Kreps, (1979), “Martingales and Multiperiod Securities Markets”, Journal of Economic Theory, vol.20, 381-408
    18. Hassler, U. and J. Wolters, (1995), “Long-memory in inflation rates: International evidence.” Journal of Business and Economic Statistics, vol.13, 37-45.
    19. Hu, Y. and Øksendal, B (2000), “Fractional white noise calculus and applications to finance”, Preprint, University of Oslo.
    20. Hurst, H. (1951), “Long term storage capacity of reservoirs”, Transactions of the American Society of Civil Engineers. Vol.116, 770-790.
    21. Jorion, P., (1995), “Predicting volatility in the foreign exchange market”, Journal of Finance. vol.50, 507-528
    22. Lo, A.W., (1991), “Long-term memory in stock market prices.” Econometrica, vol.59, 1279-1313.
    23. Mandelbrot B. B., (1963), J. Business(Chicago), vol.36, 394
    24. Mandelbrot, B. B. and Hudson, R. L. (2004). “The Behavior of Markets: A Fractal View of Risk, Ruin and Reward.” Basic Books, New York, NY.
    25. Mandelbrot, B.B., and H.W. Taylor, (1967), “On the distributions of stock price differences". Operations Research., vol.15, 1057-1062.
    26. Mandelbrot B.B. and J. W. Van Ness, (1968), SIAM Review 10, 422-437.
    27. Mandelbrot, B.B., (1971),”A Fast Fractional Gaussian Noise Generator”, Water Resources Research, 7, 543-553.
    28. Mandelbrot B. B., (1997) “Fractals and scaling in finance” Springer, New York,
    29. Mantegna R. and H. E. Stanley, (2000), “An Introduction to Econophysics”,Cambridge Univ. Press, Cambridge.
    30. Matacz A., (2000), Int. J. Theor. Appl. Financ. 3, 143-160.
    31. Miranda L. C. and R. Riera, (2001), Physica A 297, 509-520.
    32. Necula, Ciprian (2002), “Option Pricing in a Fractional Brownian Motion Environment”, Draft, Academy of Economic Studies, Bucharest, Romania.
    33. Osborne, M.F.M. (1959), “Brownian Motion in The Stock market.”Operations Research. vol. 7, 145-173.
    34. Peng, C.-K., S.V. Buldyrev, S. Havlin, M. Simons, and H.E. Stanley, 1994, Goldberger AL., “Mosaic organization of DNA nucleotides”, Physical Review E49, 1685-1689.
    35. Peters E. E.,(1991), “Chaos and order in capital markets”, Wiley, New York.
    36. Peters E. E.,(1994), “Fractal Market Analysis: Applying Chaos Theory to Investment and Economics”, Wiley, New York.
    37. Razdan, A. (2002)., “Scaling in the Bombay stock exchange index.” ramana-Journal of physics, Vol. 58, No. 3, March 2002, p. 537-544
    38. Rydberg, T. (1997), “Why Financial Data are Interesting to Statisticians”, Centre for Analytical Finance, Aarhus UniversityWorking Paper 5.
    39. Samuelson, P.A. (1964). “Rational Theory of Warrant Pricing. In The Random character of Stock Market Prices”, Ed. P. Cootner, pp 506-532, Cambridge, MIT Press.
    40. Schoutens W., (2003), “L´evy Processes in Finance: Pricing Financial Derivatives”, Wiley.
    41. Shea, G.S., (1991), “Uncertainty and implied variance bounds in long-memory models of the interest rate term structure.” Empirical Economics, vol. 16, 287-312.
    42. Shiryaev A. N., (1999), “Essentials of Stochastic Finance: Facts, Models,Theory, World Scientific”, Singapore.
    43. Teverovsky, V., M.S. Taqqu, and W. Willinger, (1999), “A critical look to Lo’s modified R/S statistics.” Journal of Statistical Planning and Inference, vol. 80, 211-227.
    44. Vandewalle N., Ausloos M., (1997), Physica A 246-454.
    45. Wiener N., J. (1923), Math. Phys. Math. 2, 131.
    Description: 碩士
    國立政治大學
    國際經營管理碩士班(IMBA)
    91932111
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0919321111
    Data Type: thesis
    Appears in Collections:[國際經營管理英語碩士學程IMBA] 學位論文

    Files in This Item:

    File Description SizeFormat
    32111101.pdf41KbAdobe PDF2908View/Open
    32111102.pdf84KbAdobe PDF2790View/Open
    32111103.pdf46KbAdobe PDF2851View/Open
    32111104.pdf125KbAdobe PDF2837View/Open
    32111105.pdf312KbAdobe PDF21400View/Open
    32111106.pdf208KbAdobe PDF22845View/Open
    32111107.pdf205KbAdobe PDF21612View/Open
    32111108.pdf146KbAdobe PDF2978View/Open
    32111109.pdf117KbAdobe PDF2869View/Open
    32111110.pdf64KbAdobe PDF2968View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback