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    政大典藏 > College of Commerce > Department of MIS > Theses >  Item 140.119/36769


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36769


    Title: 利用類神經網路在台灣認購權証評價模式錯價之探討
    Authors: 文德蘭
    Wen, Te-Lan
    Contributors: 蔡瑞煌
    陳松男
    文德蘭
    Wen, Te-Lan
    Keywords: 類神經網路
    認購權證
    Neural Network
    Warrant
    Misprice
    Date: 1998
    Issue Date: 2009-09-18 19:33:11 (UTC+8)
    Abstract: 本研究為利用人工類神經網路探討台灣認購權証之評價模式，利用人工類神經網路學習台灣認購權証之市場價格與Black-Scholes Model 的理論價格間的差異(錯價)，而類神經網路在樣本內與外的表現均優於一般傳統的評價方式。此外，亦以敏感度分析來分析認購權証之市場價格與Black-Scholes Model 的理論價格間的差異可能的影響變數。
    本研究的樣本期間為包括民國八十六年九月至民國八十八年二月，樣本資料包含每日權証價格及交易量，每日權証標的股價格及每日大盤指數。檢視目前的權証之價錯，經實証後確實發現以類神經網路可以建立一個較為有效評價模式。
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    Description: 碩士
    國立政治大學
    資訊管理研究所
    86356025
    87
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001651
    Data Type: thesis
    Appears in Collections:[Department of MIS] Theses

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