| dc.contributor.advisor | 劉明郎 | zh_TW |
| dc.contributor.author (Authors) | 廖彥茹 | zh_TW |
| dc.creator (作者) | 廖彥茹 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-Sep-2009 13:46:23 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 13:46:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 13:46:23 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0092751012 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32572 | - |
| 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) | 92751012 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本論文提出利用機率平賭性質由選擇權市場價格還原風險中立機率測度的雙目標規劃模型。假設對應同一標的資產且不同履約價的選擇權均為歐式選擇權，到期時標的資產的狀態為離散點且個數有限。若市場不存在套利機會時，建構出最小化離差總和及最大化平滑的雙目標規劃模型。將此雙目標規劃模型利用權重法轉換成單一目標之非線性模型，即可還原風險中立機率測度，並利用此風險中立機率測度評價選擇權的公平價格。最後，我們以台指選擇權(TXO)為例，驗證此模型的評價能力。 | zh_TW |
| dc.description.abstract (摘要) | This thesis proposes a biobjective nonlinear programming model to derive risk-neutral probability distribution of underlying asset. The method are used to choose probabilities that minimize the deviation between the observed price and the theoretical price as well as maximize the smoothness of the resulting probabilities. A weighting method is used to covert the model into a single objective model. Given a non-arbitrage observed option price, a risk-neutral probability distribution consistent with the observed option can be recovered by the model. This risk-neutral probability is then utilized to evaluate the fair price of options. Finally, an empirical study applying to Taiwan’s market is given to verify the pricing ability of this model. | en_US |
| dc.description.tableofcontents | 摘要 ivABSTRACT v表目錄 vii圖目錄 viii第一章 緒論 1 1.1 前言 1 1.2 研究的目的與架構 2第二章 文獻回顧 3第三章 相關模型探討 5 3.1 選擇權的到期價值 5 3.2 選擇權評價方法 8 3.3 應用平滑特質建構風險中立機率測度 10 3.4 套利與無套利 14第四章 還原風險中立機率測度的數學規劃模型 18 4.1 雙目標規劃模型 18 4.2 權重係數單一目標函數模型 20第五章 實證研究 22 5.1 資料來源 22 5.2 結果分析 22第六章 結論與建議 31參考文獻 32附錄 附表 35 | 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/#G0092751012 | 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) | 機率平賭測度 | zh_TW |
| dc.subject (關鍵詞) | 非線性規劃 | zh_TW |
| dc.subject (關鍵詞) | option pricing | en_US |
| dc.subject (關鍵詞) | risk-neutral probability measure | en_US |
| dc.subject (關鍵詞) | martingale measure | en_US |
| dc.subject (關鍵詞) | programming | en_US |
| dc.title (題名) | 還原風險中立機率測度的雙目標規劃模型 | zh_TW |
| dc.title (題名) | Recovering Risk-Neutral Probability via Biobjective Programming Model | en_US |
| dc.type (資料類型) | thesis | en |
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