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    政大機構典藏 > 商學院 > 資訊管理學系 > 學位論文 >  Item 140.119/36769


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    题名: 利用類神經網路在台灣認購權証評價模式錯價之探討
    作者: 文德蘭
    Wen, Te-Lan
    贡献者: 蔡瑞煌
    陳松男
    文德蘭
    Wen, Te-Lan
    关键词: 類神經網路
    認購權證
    Neural Network
    Warrant
    Misprice
    日期: 1998
    上传时间: 2009-09-18 19:33:11 (UTC+8)
    摘要: 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。
    參考文獻: 1. Aan, peter W. (1985), “How RSI Behaves”, The Magazine of Commodities & Option, v14n1, Jan p76
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    6. Bollerslev, T. (1986), “Generalized Autoregressive Conditional heteroskedastic-ity.” Journal of Eronometrics,31, 307-327
    7. Bollerslev, T.,R.Y. Chou and K.F. Kroner. “ARCH Modeling in Finance: A Re-view of the Theory and Empirical Evidence,” Journal of Econometrics,52 5-60
    8. Choi & Shastri (1989), “Bid-Ask and Volatility Estimates:The Implication for Option Pricing”, Journal of Banking and Finance 207-219
    9. Cornell,B., (1990) “Volume and R2. A first look”, Journal of Financial Research 14, 1-6
    10. Cox & Ross (1975),”The Valuation of Option for Alternative Stochastic Process”, Journal of financial Economics 3 145-166
    11. D.Michael Long,Dennis T. Officer (1997),”The Relation Between Option Missing and Volume in the Black-Scholes Option Model”, Journal of Financial Research Volxx,No1 1-12
    12. Engle, R.F. (1982) “Autoregressive Conditional Heteroscedasticity with Esti-mates of Variance of Unites Kingdom Inflation”. Econometrica 50,987 - 1007
    13. Ferru,M.G.,S.B.Moore, and D.C. Schirm (1988),”Investor Expectations about Callable Warrants”,Journal of Portfolio Management, vol14 84-87
    14. Hull,J., and A. White, (1987) “The Pricing of Options on Assets with Stochastic Volatilites.” Journal of Finance,2 281-300
    15. Jarvis, C.H. and Atuart, N. (1996), “The sensitivity of a neural network for classi-fying remotely sensed imagery”, Computers and Geosciences, v. 22, pp. 959-967
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    17. Kon, S.J., (1984),”Models of stock returns—A comparison”, Journal of Finance 39, 147-65
    18. Kremer Ronefeldt (1993), “Warrant Pricing:Jump Diffusion v.s. Black-Scholes”, Journal of Finance and Quantitative Analysis 255-272
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    21. MacBeth & Merville (1979),”An Empirical Investingation of Black-Scholes Call Option Model”, Journal of Finance 1173-1186
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    23. Michael, A.E. (1994), Neural Network Time Series Forecasting of Financial Market. Naimimohasses, R., Barnett, D.M., Green, D.A., and Smith, P.R. (1995), “Sensor optimization using neural network sensitivity measures,” Measurement Science & Technology, pp. 1291-1300
    24. Noreen, E. and M.Wolfson (1981),”Equilibrium Warrant Pricing Model and Ac-counting for Executive Stock Option”, Journal of accounting Research,vol19 384-398
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    30. Tauchen & Pitts (1983),”The Price Variability-Volume Relationship on Specula-tive Market”, Econometrica 485-505
    31. Tauchen & Pitts (1983),”The Price Variability-Volume Relationship on Specula-tive Market”, Econometrica 485-505
    32. Tsaih, R. (1997),”Reasoning network networks”, In Ellacott, S., J. Mason and Anderson, I. (Eds.), Mathematics of Neural Networks: Models, Algorithms and Applications, Kluwer Academic Publishers, London, pp. 366-371
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    描述: 碩士
    國立政治大學
    資訊管理研究所
    86356025
    87
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002001651
    数据类型: thesis
    显示于类别:[資訊管理學系] 學位論文

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