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

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

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/34013

題名:	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
貢獻者:	廖四郎 Liao, Szu-Lang 陳昭君 Chen, Chao-Chun
關鍵詞:	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
上傳時間:	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
資料類型:	thesis
顯示於類別:	[金融學系] 學位論文

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