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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54072


    Title: 還原選擇權風險中立測度之規劃模型
    Other Titles: On Recovering Model of the Risk-Neutral Probability Measure
    Authors: 劉明郎
    Contributors: 政治大學應用數學系
    行政院國家科學委員會
    Keywords: 還原選擇權;風險中立
    Date: 2006
    Issue Date: 2012-10-24 16:14:31 (UTC+8)
    Abstract: 本研究利用選擇權市場價格還原標的資產的風險中立測度。研究中將提出建立風險中立機率的測度的幾個無母數數學規畫模型。討論不同模型的效能,再利用優化模型的對偶性質提出對應的避險投資組合。此外,輸入還原模型之資料必須是無套利機會之選擇權市場價格,本研究亦將提出檢測無套利機會的數學規畫模型。最後,將以台灣期貨與選擇權市場的交易資料作為實證研究之對象。
    Relation: 基礎研究
    學術補助
    研究期間:9508~ 9607
    研究經費:460仟元
    Data Type: report
    Appears in Collections:[應用數學系] 國科會研究計畫

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