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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34032


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    题名: 以變異數比率法檢定指數選擇權之買賣權平價理論——馬可夫狀態轉換模型之應用
    作者: 秦秀琪
    贡献者: 杜化宇
    none
    秦秀琪
    关键词: 馬可夫狀態轉換模型
    買賣權平價理論
    變異數比率檢定法
    股利不勸定性
    Markov Regime Switching Model
    Put-Call Parity
    Variance Ratio Test
    Dividend Uncertainty
    日期: 2002
    上传时间: 2009-09-17 19:10:05 (UTC+8)
    摘要: 本研究目的在於探討Put-Call Parity（PCP）所隱含的買權、賣權與標的資產間的價格變動關係。藉由探討PCP偏差程度的動態行為，推論若PCP的偏差為隨機漫步過程，則無法達到長期穩定，隱含PCP的廣義關係無法成立；反之，若PCP的偏差具有回歸平均特性，表示長期會達到穩定狀態，則PCP的廣義關係成立。
    在研究方法上本文以變異數比率法檢定指數選擇權的PCP偏差是否為隨機漫步過程，採用隱含利率和實際無風險利率的差代表PCP的偏差程度，利用馬可夫轉換模型描繪PCP偏差的動態行為，並使用Gibbs Sampling演算法說明參數的不確定性。
    本文以S&P500和DAX為研究標的，並探討股利不確定性是否影響PCP廣義關係，得到下列結論：
    1、 對於S&P 500指數選擇權而言，不論是以日資料或週資料估計VR，S&P 500的PCP偏差都無法提供回歸平均的證據，隱含S&P 500的PCP廣義關係無法成立。
    2、 對於DAX指數選擇權而言，檢定日資料的結果發現，DAX之PCP偏差在長期時（40~50日）有明顯的回歸平均的證據；而在檢定週資料時，使用原始資料法在90%信心水準下，不論取任何lag都可拒絕虛無假設，使用標準化資料則無法提供明顯的回歸平均證據。
    3、 比較S&P 500和DAX，檢定日資料與週資料的結果都發現，DAX的p-value都比S&P 500小，並且S&P 500的PCP偏差都無法提供回歸平均的證據，而DAX有明顯回歸平均現象，隱含在消除股利的不確定性後，指數選擇權PCP的廣義關係式成立之證據較強烈。
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    描述: 碩士
    國立政治大學
    財務管理研究所
    90357005
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090357005
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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