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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86463


    Title: 股價機率分配之決定及其在認購權證定價之應用
    The decision of stock returns` distribution and its application on warrants pricing
    Authors: 李文銓
    Li, Wen-Chuan
    Contributors: 胡聯國
    李文銓
    Li, Wen-Chuan
    Keywords: 定價
    認購權證
    認股權證
    選擇權
    股價分配
    pricing
    Warrant
    Option
    Stock return distribution
    Date: 1998
    Issue Date: 2016-04-27 11:22:44 (UTC+8)
    Abstract: 本文嘗試放寬 Black-Scholes 模型中對股價分配所做的假設，並利用風險中立評價法的觀念，推導出另一具有封閉解的評價公式。不同於以往的是，本文並不採取以過去的股票價格來做為模型中參數估計的依據，而是直接使用認購權證的市場價格去估計模型參數，希冀從權證價格中淬取出投資人心中所認為的股價分配，並進一步做為預測以後權證價格的資訊。
    The study tries to release the stock price distribution in Black-Scholes model, and use the risk-neutral valuation technique to construct another pricing formula which also has closed form. Then we use the warrants` market price to estimate the parameters in order to recovering the information contained in warrant price about market participant`s perceptions of the distribution of the underlying asset. We choose two warrants` data to gauge our model. One is cathay01, another is polaris 02. In the application to the warrant market, we find that the new formula has a better performance than the Black-Scholes model, and the price distributions of the two warrants` underlining assets are not log-normal distribution, they both have a flat right-tail. We also find that using the new formula in polaris02 can have a better improvement in interpretation or forecasting warrants` price than using in chthay01.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    85351013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001915
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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