| dc.contributor.advisor | 蔡瑞煌<br>陳松男 | zh_TW |
| dc.contributor.author (Authors) | 文德蘭 | zh_TW |
| dc.contributor.author (Authors) | Wen, Te-Lan | en_US |
| dc.creator (作者) | 文德蘭 | zh_TW |
| dc.creator (作者) | Wen, Te-Lan | en_US |
| dc.date (日期) | 1998 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:33:11 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:33:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:33:11 (UTC+8) | - |
| dc.identifier (Other Identifiers) | B2002001651 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36769 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 資訊管理研究所 | zh_TW |
| dc.description (描述) | 86356025 | zh_TW |
| dc.description (描述) | 87 | zh_TW |
| dc.description.abstract (摘要) | 本研究為利用人工類神經網路探討台灣認購權証之評價模式，利用人工類神經網路學習台灣認購權証之市場價格與Black-Scholes Model 的理論價格間的差異(錯價)，而類神經網路在樣本內與外的表現均優於一般傳統的評價方式。此外，亦以敏感度分析來分析認購權証之市場價格與Black-Scholes Model 的理論價格間的差異可能的影響變數。 本研究的樣本期間為包括民國八十六年九月至民國八十八年二月，樣本資料包含每日權証價格及交易量，每日權証標的股價格及每日大盤指數。檢視目前的權証之價錯，經實証後確實發現以類神經網路可以建立一個較為有效評價模式。 | zh_TW |
| dc.description.tableofcontents | CHAPTER 1 INTRODUCTION CHAPTER 2 LITERATURE REVIEW 2.1 BLACK-SCHOLES PRICING MODEL 2.2 THE WARRANT PRICING WITH BLACK-SCHOLES MODEL 2.2.1 About riskless interest rate, dividend and expend 2.2.2 About price-volume 2.2.3 About Volatility 2.3. BACK PROPAGATION NEURAL NETWORKS 2.4. SENSITIVITY ANALYSIS 2.5. GARCH(1,1) CHAPTER 3 METHODOLOGY 3.1. EXPERIMENT DESIGNS 3.2. PREDICTION MODELS 3.2.1 The regression model 3.2.2. The Neural Network model 3.2.3 The GARCH(1,1) model 3.3 THE ERROR MEASUREMENT CHAPTER 4 EMPIRICAL RESULTS 4.1. THE PERFORMANCE ON EXP_1 4.2 THE PERFORMANCE OF EXP_2 4.3 THE PERFORMANCE OF EXP_3 4.2 SENSITIVITY ANALYSIS CHAPTER 5 SUMMARY 5.1. DISCUSSIONS FROM THE SIMULATIONS AND FORECASTS 5.2. LIMITATION AND FUTURE WORK REFERENCE APPENDIX A APPENDIX B | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#B2002001651 | en_US |
| dc.subject (關鍵詞) | 類神經網路 | zh_TW |
| dc.subject (關鍵詞) | 認購權證 | zh_TW |
| dc.subject (關鍵詞) | Neural Network | en_US |
| dc.subject (關鍵詞) | Warrant | en_US |
| dc.subject (關鍵詞) | Misprice | en_US |
| dc.title (題名) | 利用類神經網路在台灣認購權証評價模式錯價之探討 | zh_TW |
| dc.type (資料類型) | thesis | en |
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