| dc.contributor.advisor | 劉明郎 | zh_TW |
| dc.contributor.author (Authors) | 陳韻竹 | zh_TW |
| dc.creator (作者) | 陳韻竹 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 17-Sep-2009 13:48:34 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 13:48:34 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 13:48:34 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094751014 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32591 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學研究所 | zh_TW |
| dc.description (描述) | 94751014 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 本論文利用市場觀測的選擇權買價與賣價，將市場的交易行為描述為兩人零合賽局，其中參賽者為投資人與市場機制，分別建立雙方的最佳策略模型。假設標的資產到期日的價格為離散點且個數有限，當市場不存在套利機會，也就是投資人最佳策略時報償為零時，可利用賽局線性規劃模型導出隱含於市場價格的風險中立機率測度。此模型不須對標的資產價格的機率分配做任何假設，也不須計算波動度，就可利用資產價格的平賭性質，以還原的風險中立機率測度為選擇權作合理的定價。最後，以台指選擇權(TXO)為例，驗證本模型的評價能力，且再次證實資產價格的風險中立機率分佈與一般常假設的對數常態分佈有落差。 | zh_TW |
| dc.description.tableofcontents | 摘要 iiiABSTRACT iv目錄 v圖目錄 vi表目錄 vii第一章 緒論 11.1研究動機與研究方法 11.2文章架構 2第二章 文獻回顧 32.1 Black-Scholes歐式選擇權評價模型 32.2平賭過程評價方法 52.3還原風險中立機率測度 52.3.1 無母數還原風險中立機率測度的方法 52.3.2 拉格朗日乘數法還原風險中立機率測度 72.4賽局理論之簡介 10第三章 由選擇權市場價格還原風險中立機率測度 163.1 選擇權套利模型 163.2還原風險中立機率測度 223.3 考慮交易成本 23第四章 實證分析 264.1 資料來源 264.2 實證方法與結果分析 264.2.1 套利機會的篩選 274.2.2 風險中立機率測度的型態 324.2.3市場上買權與賣權的價格合理性 35第五章 結論 42參考文獻 43 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094751014 | en_US |
| dc.subject (關鍵詞) | 評價選擇權 | zh_TW |
| dc.subject (關鍵詞) | 風險中立機率測度 | zh_TW |
| dc.subject (關鍵詞) | 等價平賭測度 | zh_TW |
| dc.subject (關鍵詞) | 賽局理論 | zh_TW |
| dc.subject (關鍵詞) | 線性規劃 | zh_TW |
| dc.title (題名) | 應用賽局理論評價選擇權 | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | 張瓊芳，2005，由市場的選擇權價格還原風險中立機率分布，國立政治大學應用數學系碩士論文，台北。 | zh_TW |
| dc.relation.reference (參考文獻) | 劉桂芳，2005，由選擇權市場價格建構具一致性之評價模型，國立政治大學應用數學系碩士論文，台北。 | zh_TW |
