| dc.contributor.advisor | 胡聯國 | zh_TW |
| dc.contributor.author (Authors) | 陳雅婷 | zh_TW |
| dc.creator (作者) | 陳雅婷 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:10:22 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:10:22 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:10:22 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093351013 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35103 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 93351013 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | Black and Scholes評價模型假設標的資產價格變動行為為服從常態分配的一連續擴散過程(Continuous Diffusion Process)。然而，許多實證研究結果指出相較於常態分配，市場上資產報酬形態多具有厚尾（Fatter Tails）、偏態、高峰態與價格不連續之現象。Merton(1976)提出跳躍擴散模型，在標的資產價格行為服從跳躍擴散程序的假設下，求算選擇權理論價格，有效地解釋市場資產報酬分配型態呈現偏態、高峰態及價格不連續等現象。本文在標的資產價格行為服從Merton（1976）跳躍擴散程序（Jump-Diffusion Process）的假設下，利用Broadie and Glasserman（1997a）所提出之隨機樹狀模型（Random Tree Model）來評價具有提前履約性質的美式選擇權，利用一信賴區間來解決一般美式選擇權模擬估計所產生之偏誤問題。 | zh_TW |
| dc.description.tableofcontents | 誌謝………………………………………………………………i中文摘要…………………………………………………………ii英文摘要…………………………………………………………iii目錄………………………………………………………………iv表目錄……………………………………………………………v圖目錄……………………………………………………………v第一章 緒論…………………………………………………1第一節 研究動機……………………………………………1第二節 研究目的…………………………………………3第三節 研究架構…………………………………………………3第二章 相關文獻探討……………………………………………4第一節 選擇權之介紹……………………………………………4第二節 跳躍擴散模型（Jump-Diffusion Model）…………………7第三節 蒙地卡羅模擬法於選擇權之應用………………………………10第四節 隨機樹狀模型（Random Tree Model）……………………13第三章 研究方法…………………………………………………………21第一節 模型推導與建構……………………………………………………21第二節 信賴區間之建立與點估計值之求算………………………………22第三節 深度優先搜尋演算法………………………………………………23第四章 數值模擬結果……………………………………………………………27第一節 未考慮跳躍風險下之隨機樹狀模擬結果…………………………27第二節 考慮跳躍風險下之隨機樹狀模擬結果……………………………34第五章 結論與建議………………………………………………………………44參考文獻……………………………………………………………………………46附錄…………………………………………………………………………………47 | 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/#G0093351013 | en_US |
| dc.subject (關鍵詞) | 美式選擇權 | zh_TW |
| dc.subject (關鍵詞) | 跳躍擴散模型 | zh_TW |
| dc.subject (關鍵詞) | 隨機樹狀模型 | zh_TW |
| dc.title (題名) | 跳躍擴散模型下之美式選擇權評價分析-隨機樹狀模型之應用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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