政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36704

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/36704

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36704

Title:	價格限制下--認購權證價格衡量之分析
Authors:	廖國佑
Contributors:	陳威光沈中華廖國佑
Keywords:	認購權證價格限制
Date:	1996
Issue Date:	2009-09-18 19:20:05 (UTC+8)
Abstract:	本篇論文主要是探討一個受到價格限制之下認股權證的價值。由於台灣股市有每天百分之七的價格限制，且認權證將於今年年中開放交易。而就筆者所知，目前尚無文獻探討一個當標的物受到特殊的價格限制時，認購權證公式解評價的問題。故本文嘗試利用蒙地卡羅模擬來估算此種特殊的認購權證價值。本文發現，模擬值將大於事後標準差所得到的Black-Scholes模型值。所以若以過去觀察股價來估算報酬標準差求算傳統Black-Scholes模型值，將使得認購權證的價值偏低。
Description:	碩士國立政治大學金融研究所 84352005 85
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002002328
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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