政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34013

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34013

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文笔数/总笔数 : 113656/144643 (79%)
造访人次 : 51736128 在线人数 : 328

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜寻范围

查询小技巧：

您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果

若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据

进阶搜寻

主页 ‧ 登入 ‧ 上传 ‧ 说明 ‧ 关于政大典藏 ‧ 管理

到手机版

政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/34013

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/34013

题名:	資產報酬自我相關下之選擇權評價理論 The Valuation of European Options When Asset Returns Are Autocorrelated
作者:	陳昭君 Chen, Chao-Chun
贡献者:	廖四郎 Liao, Szu-Lang 陳昭君 Chen, Chao-Chun
关键词:	選擇權評價報酬自我相關風險中立評價理論 Option Pricing Autocorrelated Returns Martingale Asset Pricing
日期:	2004
上传时间:	2009-09-17 19:05:50 (UTC+8)
摘要:	有鑑於資產報酬常具有自我相關的特性，本文探討當標的資產報酬服從一階移動平均過程之選擇權（MA(1)-type option）評價。研究結果顯示，除了總變異因子（total volatility input）不同外，MA(1)-type option 的評價公式與 Black and Scholes 模型極為相似。而根據數值分析的結果，即使資產報酬間自我相關的程度薄弱，由一階移動平均過程產生之自我相關仍會對選擇權價值造成顯著影韾。 This paper derives the closed-form formula for a European option on an asset with returns following a continuous-time type of first-order moving average process, which is named as an MA(1)-type option. The pricing formula of these options is similar to that of Black and Scholes except for the total volitility input. Specifically, the total volatility input of MA(1)-type options is the conditional standard deviation of continuous-compounded returns over the option`s remaining life, whereas the total volatility input of Black and Scholes is indeed the diffusion coefficient of a geometric Brownian motion times the square root of an option`s time to maturity. Based on the result of numerical analyses, the impact of autocorrelation induced by the MA(1)-type process is significant to option values even when the autocorrelation between asset returns is weak.
參考文獻:	Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-654. Bollerslev, T. (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics, 69, 542-547. Cohen, K., Hawawini, G., Maier, S., Schwartz, R., & Whitcomb, D. (1980).□Implications of microstructure theory for empirical research on stock price behavior. Journal of Finance, 35, 249-257. Cox, J., & Ross, S. (1976). The valuation of options for alternative stochastic processes, Journal of Financial Economics 3, 145-166. Duan, J. (1995). The GARCH option pricing model. Mathematical Finance, 5, 13-32. French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 3-29. Grundy, B. (1991). Option prices and the underlying asset`s return distribution, Journal of Finance, 46, 1045-1069. Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3, 281-307. Hamilton, J. D. (1994). Time series analysis. New Jersey: Princeton University. Harrison, J. M., & Pliska, S. R. (1981). Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and their Applications, 11, 215-260. Heston, S., & Nandi, S. (2000). A closed-form GARCH option valuation model. The Review of Financial Studies, 13, 585-625. Jokivuolle, E. (1995). Measuring true stock index value in the presence of infrequent trading. Journal of Financial Quantitative Analysis, 30, 455-464. Jokivuolle, E. (1998). Pricing European options on autocorrelated indexes. Journal of Derivatives, 6, 39-52. Klebaner, F. C. (1998). Introduction to stochastic calculus with applications. London: Imperial College. Lamberton, D., & Lapeyre, B. (1996). Introduction to stochastic calculus applied to finance. London; New York: Chapman & Hall. Lo, A. W., & Wang, J. (1995). Implementing option pricing models when asset returns are predictable. Journal of Finance, 50, 87-129. Merton, R. (1973). Rational theory of option pricing. Bell Journal of Economics and Management Science, 4, 141-183. Musiela, M., & Rutkowski, M. (1997). Martingale methods in financial modelling. Berlin; New York: Springer. Roll, R. (1977). An analytic valuation formula for unprotected American call options on stocks with known dividends. Journal of Financial Economics, 5, 251-258.
描述:	博士國立政治大學金融研究所 89352501 93
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0893525011
数据类型:	thesis
显示于类别:	[金融學系] 學位論文

文件中的档案:

档案	描述	大小	格式	浏览次数
52501101.pdf		428Kb	Adobe PDF2	895	检视/开启
52501102.pdf		504Kb	Adobe PDF2	807	检视/开启
52501103.pdf		397Kb	Adobe PDF2	892	检视/开启
52501104.pdf		400Kb	Adobe PDF2	788	检视/开启
52501105.pdf		411Kb	Adobe PDF2	831	检视/开启
52501106.pdf		432Kb	Adobe PDF2	2170	检视/开启
52501107.pdf		440Kb	Adobe PDF2	953	检视/开启
52501108.pdf		506Kb	Adobe PDF2	870	检视/开启
52501109.pdf		576Kb	Adobe PDF2	851	检视/开启
52501110.pdf		402Kb	Adobe PDF2	787	检视/开启
52501111.pdf		420Kb	Adobe PDF2	881	检视/开启
52501112.pdf		409Kb	Adobe PDF2	796	检视/开启
52501113.pdf		401Kb	Adobe PDF2	882	检视/开启

在政大典藏中所有的数据项都受到原著作权保护.

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 © - 回馈