| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao, Szu-Lang | en_US |
| dc.contributor.author (Authors) | 陳昭君 | zh_TW |
| dc.contributor.author (Authors) | Chen, Chao-Chun | en_US |
| dc.creator (作者) | 陳昭君 | zh_TW |
| dc.creator (作者) | Chen, Chao-Chun | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:05:50 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:05:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:05:50 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0893525011 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34013 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 89352501 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 有鑑於資產報酬常具有自我相關的特性，本文探討當標的資產報酬服從一階移動平均過程之選擇權（MA(1)-type option）評價。研究結果顯示，除了總變異因子（total volatility input）不同外，MA(1)-type option 的評價公式與 Black and Scholes 模型極為相似。而根據數值分析的結果，即使資產報酬間自我相關的程度薄弱，由一階移動平均過程產生之自我相關仍會對選擇權價值造成顯著影韾。 | zh_TW |
| dc.description.abstract (摘要) | This paper derives the closed-form formula for a European option on an asset with returns following a continuous-time type of first-order moving average process, which is named as an MA(1)-type option. The pricing formula of these options is similar to that of Black and Scholes except for the total volitility input. Specifically, the total volatility input of MA(1)-type options is the conditional standard deviation of continuous-compounded returns over the option`s remaining life, whereas the total volatility input of Black and Scholes is indeed the diffusion coefficient of a geometric Brownian motion times the square root of an option`s time to maturity. Based on the result of numerical analyses, the impact of autocorrelation induced by the MA(1)-type process is significant to option values even when the autocorrelation between asset returns is weak. | en_US |
| dc.description.tableofcontents | 1 Introduction2 Literature Review3 The Setting: A Continuous-time Process of Autocorrelated Asset Returns4 Option Pricing When Asset Returns follow an MA(1)-type Process 4.1 The Closed-form Formula of MA(1)-type Call Options 4.2 The Closed-form Formula of MA(1)-type Put Options5 Numerical Analyses 5.1 Numerical Analyses for MA(1)-type Call Options 5.2 Numerical Analyses for MA(1)-type Put Options6 ConclusionsA The proof of Lemma 4.1B The dynamics of stock prices under measure RBibliography | zh_TW |
| dc.format.extent | 438389 bytes | - |
| dc.format.extent | 516504 bytes | - |
| dc.format.extent | 406689 bytes | - |
| dc.format.extent | 410263 bytes | - |
| dc.format.extent | 421110 bytes | - |
| dc.format.extent | 443373 bytes | - |
| dc.format.extent | 450782 bytes | - |
| dc.format.extent | 518555 bytes | - |
| dc.format.extent | 590396 bytes | - |
| dc.format.extent | 411756 bytes | - |
| dc.format.extent | 430705 bytes | - |
| dc.format.extent | 418978 bytes | - |
| dc.format.extent | 410690 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0893525011 | en_US |
| dc.subject (關鍵詞) | 選擇權評價 | zh_TW |
| dc.subject (關鍵詞) | 報酬自我相關 | zh_TW |
| dc.subject (關鍵詞) | 風險中立評價理論 | zh_TW |
| dc.subject (關鍵詞) | Option Pricing | en_US |
| dc.subject (關鍵詞) | Autocorrelated Returns | en_US |
| dc.subject (關鍵詞) | Martingale Asset Pricing | en_US |
| dc.title (題名) | 資產報酬自我相關下之選擇權評價理論 | zh_TW |
| dc.title (題名) | The Valuation of European Options When Asset Returns Are Autocorrelated | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-654. | zh_TW |
| dc.relation.reference (參考文獻) | Bollerslev, T. (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics, 69, 542-547. | zh_TW |
| dc.relation.reference (參考文獻) | Cohen, K., Hawawini, G., Maier, S., Schwartz, R., & Whitcomb, D. (1980).□Implications of microstructure theory for empirical research on stock price behavior. Journal of Finance, 35, 249-257. | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J., & Ross, S. (1976). The valuation of options for alternative stochastic processes, Journal of Financial Economics 3, 145-166. | zh_TW |
| dc.relation.reference (參考文獻) | Duan, J. (1995). The GARCH option pricing model. Mathematical Finance, 5, 13-32. | zh_TW |
| dc.relation.reference (參考文獻) | French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 3-29. | zh_TW |
| dc.relation.reference (參考文獻) | Grundy, B. (1991). Option prices and the underlying asset`s return distribution, Journal of Finance, 46, 1045-1069. | zh_TW |
| dc.relation.reference (參考文獻) | Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3, 281-307. | zh_TW |
| dc.relation.reference (參考文獻) | Hamilton, J. D. (1994). Time series analysis. New Jersey: Princeton University. | zh_TW |
| dc.relation.reference (參考文獻) | Harrison, J. M., & Pliska, S. R. (1981). Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and their Applications, 11, 215-260. | zh_TW |
| dc.relation.reference (參考文獻) | Heston, S., & Nandi, S. (2000). A closed-form GARCH option valuation model. The Review of Financial Studies, 13, 585-625. | zh_TW |
| dc.relation.reference (參考文獻) | Jokivuolle, E. (1995). Measuring true stock index value in the presence of infrequent trading. Journal of Financial Quantitative Analysis, 30, 455-464. | zh_TW |
| dc.relation.reference (參考文獻) | Jokivuolle, E. (1998). Pricing European options on autocorrelated indexes. Journal of Derivatives, 6, 39-52. | zh_TW |
| dc.relation.reference (參考文獻) | Klebaner, F. C. (1998). Introduction to stochastic calculus with applications. London: Imperial College. | zh_TW |
| dc.relation.reference (參考文獻) | Lamberton, D., & Lapeyre, B. (1996). Introduction to stochastic calculus applied to finance. London; New York: Chapman & Hall. | zh_TW |
| dc.relation.reference (參考文獻) | Lo, A. W., & Wang, J. (1995). Implementing option pricing models when asset returns are predictable. Journal of Finance, 50, 87-129. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. (1973). Rational theory of option pricing. Bell Journal of Economics and Management Science, 4, 141-183. | zh_TW |
| dc.relation.reference (參考文獻) | Musiela, M., & Rutkowski, M. (1997). Martingale methods in financial modelling. Berlin; New York: Springer. | zh_TW |
| dc.relation.reference (參考文獻) | Roll, R. (1977). An analytic valuation formula for unprotected American call options on stocks with known dividends. Journal of Financial Economics, 5, 251-258. | zh_TW |
