政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/86463
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51063169      線上人數 : 943
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/86463


    題名: 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
    作者: 李文銓
    Li, Wen-Chuan
    貢獻者: 胡聯國
    李文銓
    Li, Wen-Chuan
    關鍵詞: 定價
    認購權證
    認股權證
    選擇權
    股價分配
    pricing
    Warrant
    Option
    Stock return distribution
    日期: 1998
    上傳時間: 2016-04-27 11:22:44 (UTC+8)
    摘要: 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.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    85351013
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002001915
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML2280檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋