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    Title: 不完美財務市場下選擇權避險策略與評價
    The Hedging Strategies and Valuation of Options in The Imperfect Markets
    Authors: 程言信
    Cheng, Yen Shin
    Contributors: 胡聯國
    Len Kuo Hu
    程言信
    Yen Shin Cheng
    Keywords: 不完美市場
    選擇權評價
    避險策略
    Imperfect Markets
    Options Pricing
    Hedging Strategies
    Date: 1998
    Issue Date: 2016-04-20 17:16:15 (UTC+8)
    Abstract: 本文在不完美財務市場(Imperfect Markets)的假設下,探討採取不同的選擇權的避險策略與對選擇權評價模式的影響,並分析最適避險策略。在這裡所提到的不完美市場指的是無法連續時點的交易、交易時產生交易成本及異質訊息交易者。結果在不完美因素的考量下,其避險策略將不再是完美避險(Delta Hedge),應適當考慮避險策略。不同於Leland(1985)的分析方式,在此透過不同的避險策略分析去探討比較不完美市場產生的差異,分別以最小變異數避險分析及平均數--變異數避險分析,探討不完美市場對選擇權評價的影響。
    Reference: 參考文獻
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    Description: 博士
    國立政治大學
    國際經營與貿易學系
    81351007
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001529
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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