| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.advisor | none | en_US |
| dc.contributor.author (作者) | 秦秀琪 | zh_TW |
| dc.creator (作者) | 秦秀琪 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 17-九月-2009 19:10:05 (UTC+8) | - |
| dc.date.available | 17-九月-2009 19:10:05 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 19:10:05 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0090357005 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34032 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 90357005 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 本研究目的在於探討Put-Call Parity（PCP）所隱含的買權、賣權與標的資產間的價格變動關係。藉由探討PCP偏差程度的動態行為，推論若PCP的偏差為隨機漫步過程，則無法達到長期穩定，隱含PCP的廣義關係無法成立；反之，若PCP的偏差具有回歸平均特性，表示長期會達到穩定狀態，則PCP的廣義關係成立。在研究方法上本文以變異數比率法檢定指數選擇權的PCP偏差是否為隨機漫步過程，採用隱含利率和實際無風險利率的差代表PCP的偏差程度，利用馬可夫轉換模型描繪PCP偏差的動態行為，並使用Gibbs Sampling演算法說明參數的不確定性。本文以S&P500和DAX為研究標的，並探討股利不確定性是否影響PCP廣義關係，得到下列結論：1、 對於S&P 500指數選擇權而言，不論是以日資料或週資料估計VR，S&P 500的PCP偏差都無法提供回歸平均的證據，隱含S&P 500的PCP廣義關係無法成立。2、 對於DAX指數選擇權而言，檢定日資料的結果發現，DAX之PCP偏差在長期時（40~50日）有明顯的回歸平均的證據；而在檢定週資料時，使用原始資料法在90%信心水準下，不論取任何lag都可拒絕虛無假設，使用標準化資料則無法提供明顯的回歸平均證據。3、 比較S&P 500和DAX，檢定日資料與週資料的結果都發現，DAX的p-value都比S&P 500小，並且S&P 500的PCP偏差都無法提供回歸平均的證據，而DAX有明顯回歸平均現象，隱含在消除股利的不確定性後，指數選擇權PCP的廣義關係式成立之證據較強烈。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究動機與目的 1第二節 研究方法 2第三節 研究架構 3第二章 理論基礎與文獻探討 6第一節 變異數比率檢定（Variance Ratio Test） 6第二節 VR的同質性變異與異質性變異的樣本分配 8第三章 研究方法 18第一節 歐式指數選擇權之Put-Call Parity 18第二節 以馬可夫轉換模型描繪PCP偏差的動態行為 24第三節 估計馬可夫轉換模型的參數及狀態變數 28第四節 估計Variance Ratios的樣本分配 38第四章 實證結果 42第一節 研究標的 42第二節 資料選取 44第三節 使用馬可夫轉換模型的適當性 48第四節 Variance Ratio檢定結果 58第五章 總結與結論 71第一節 總結 71第二節 結論 73 | 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/#G0090357005 | en_US |
| dc.subject (關鍵詞) | 馬可夫狀態轉換模型 | zh_TW |
| dc.subject (關鍵詞) | 買賣權平價理論 | zh_TW |
| dc.subject (關鍵詞) | 變異數比率檢定法 | zh_TW |
| dc.subject (關鍵詞) | 股利不勸定性 | zh_TW |
| dc.subject (關鍵詞) | Markov Regime Switching Model | en_US |
| dc.subject (關鍵詞) | Put-Call Parity | en_US |
| dc.subject (關鍵詞) | Variance Ratio Test | en_US |
| dc.subject (關鍵詞) | Dividend Uncertainty | en_US |
| dc.title (題名) | 以變異數比率法檢定指數選擇權之買賣權平價理論——馬可夫狀態轉換模型之應用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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