政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/3741
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3741


    Title: 選擇權之評價：Ornstein-Uhlenbeck 股價變動過程下
    Other Titles: The Valuation of Options for Ornstein-Uhlenbeck Position Process
    Authors: 陳威光;江彌修
    Date: 2004
    Issue Date: 2007-04-18 16:34:58 (UTC+8)
    Publisher: 臺北市：國立政治大學金融系
    Abstract: Black-Scholes(1973,B-S)選擇權評價模型假設在一個完美市場下，包括沒 有稅賦、沒有交易成本、沒有賣空的限制，股價是連續性的等等。B-S 假設選 擇權標的資產服從幾何布朗寧運動(Geometric Brownian Motion)，其特性為股 價報酬是連續的，且服從常態分配。但事實上，現實環境中，金融市場並非完 美市場，包括交易成本、賣空限制、漲跌幅限制等，股價並非完全遵循幾何布 朗寧運動的特性。Goldenberg(1986,2000) ， 探討標的資產服從 Ornstein-Uhlenbecke 過程，而非上述的幾何布朗寧運動的情況。本研究根據 該論文進而導出標的資產服從Ornstein-Uhlenbecke 過程下選擇權的評價公 式。此外本研究也將進一步考慮標的資產有漲跌幅的限制時，利用以上選擇權 的評價推導出其公式解。本研究最後利用蒙地卡羅模擬法來驗證其公式的正確 性。
    Description: 核定金額：194800元
    Data Type: report
    Appears in Collections:[Department of Money and Banking] NSC Projects

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