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    題名: 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
    作者: 程言信
    Cheng, Yen Shin
    貢獻者: 胡聯國
    Len Kuo Hu
    程言信
    Yen Shin Cheng
    關鍵詞: 不完美市場
    選擇權評價
    避險策略
    Imperfect Markets
    Options Pricing
    Hedging Strategies
    日期: 1998
    上傳時間: 2016-04-20 17:16:15 (UTC+8)
    摘要: 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。
    參考文獻: 參考文獻
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    描述: 博士
    國立政治大學
    國際經營與貿易學系
    81351007
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002001529
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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