| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.author (Authors) | 彭貴田 | zh_TW |
| dc.creator (作者) | 彭貴田 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-Sep-2009 18:55:11 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 18:55:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 18:55:11 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0919321111 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33960 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營管理碩士班(IMBA) | zh_TW |
| dc.description (描述) | 91932111 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 傳統效率市場假設股價的波動是隨機的，亦即股價是無法預測。 近來的文獻指出股價的波動是不完全是隨機的，且股價的波動具有緩長記憶(long memory)的特性。在本文中我們以R/S分析發現臺灣股市的Hurst指數為0.68，即具有趨勢持續性(trend persistent)之效果，根據此依特性，我們根據Necula(2002)的研究，來評價台股選擇權，發現此新評價模式產生之價格較接近市場價格。 | zh_TW |
| dc.description.tableofcontents | 第一章 序論………………………………………5第一節 研究動機………………………………………………5第二節 研究目的………………………………………………8第三節 研究架構………………………………………………9第二章 文獻探討…………………………………10第一節 標準布朗運動與碎形布朗運動………………………10第二節 非常態分佈與緩長記憶…...……………………….…11第三節 選擇權評價簡介...………………………………….…13第三章 研究方法…………………………………16第一節 Hurst 指數與緩長記憶之關係………………………16第二節 R/S分析………………………………………………18第三節 修正之R/S分析……………………………………...19第四節 DFA分析……………………………………………..20第五節 緩長記憶之選擇權評價分析………………………...21第四章 實證分析………………………………....23第一節 TAII之Hurst 指數…………………………..………23第二節 TAII之fBS選擇權評價與分析……………..………25第五章 結論與後續建議………………………....29第一節 結論……………………………………………………29第二節 後續建議………………………………………………30參考文獻……………………………………………………………..…31 | 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/#G0919321111 | en_US |
| dc.subject (關鍵詞) | 緩長記憶 | zh_TW |
| dc.subject (關鍵詞) | 碎形布朗運動 | zh_TW |
| dc.subject (關鍵詞) | Hurst 指數 | zh_TW |
| dc.subject (關鍵詞) | R/S分析 | zh_TW |
| dc.subject (關鍵詞) | 碎形Black-Scholes選擇權評價 | zh_TW |
| dc.title (題名) | 緩長記憶效應下的選擇權評價 | zh_TW |
| dc.type (資料類型) | thesis | en |
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