Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/32591


Title: 應用賽局理論評價選擇權
Authors: 陳韻竹
Contributors: 劉明郎
陳韻竹
Keywords: 評價選擇權
風險中立機率測度
等價平賭測度
賽局理論
線性規劃
Date: 2006
Issue Date: 2009-09-17 13:48:34 (UTC+8)
Abstract: 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。
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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。
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Description: 碩士
國立政治大學
應用數學研究所
94751014
95
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094751014
Data Type: thesis
Appears in Collections:[應用數學系] 學位論文

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