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    題名: 美式外匯選擇權提前執行貼水評價與提前執行合理性之探討
    其他題名: The Value and Investor Rationality on the Early Exercise of American Currency Options: An Empirical Investigation
    作者: 杜化宇
    關鍵詞: 外匯選擇權;提前執行合理性;提前執行溢酬
    Currency Options;Early Exercise premium;Rationality of Early Exercise
    日期: 2002
    上傳時間: 2007-04-18 16:41:52 (UTC+8)
    出版者: 臺北市：國立政治大學財務管理學系
    摘要: 本研究的目的主要有兩個。首先，我們使用在費城股票交易所交易的外匯選擇權來探討美式選擇權提前執行的價值。綜合橫斷面與縱斷面分析的方法使用來檢定較早由Zivney (1991)與DeRoon and Veld (1996)所提出的假說是否適用於外匯選擇權。其次，我們探討這些美式外匯賣權實際的提前執行決定是否符合理論的最適提前執行法則。此最適決定我們從兩個角度來分析。首先，先計算出關鍵的提前執行執行價格(critical exercise price)再與實際執行價格相比較。其次，此外匯美式選擇權的執行價格再與市場價格(bid price)作比較。上述的分析可協助我們了解是否這些提前執行的決定合乎合理(rational)提前執行的行為。此外，若存在不合理的行為，我們亦探討何種因素主導這些不合理提前執行的行為。
    The purpose of this study is twofold. First, we evaluate the value of early exercise of an option from deviations of the European put-call parity, using foreign currency options in Philadelphia Stock Exchange. The pooled cross-sectional and time-series regressions is employed to test the hypotheses initiated by Zivney (1991) and DeRoon and Veld (1996). Second, we investigate how well the actual exercise behavior of American foreign currency put options corresponds to the early exercise rules. The optimal exercise strategy is established in two ways. First, the critical exercise price, above which a put option should be exercised early, is computed and compared to the actual exercise price. Second, the exercise value of the option is compared to its market bid price. The above analysis can help us to monitor whether the early exercise decisions conforms to rational exercise behavior. In addition, we also examine what factors drive the irrational behavior of early exercises.
    描述: 核定金額：329500元
    資料類型: report
    顯示於類別:[財務管理學系] 國科會研究計畫

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