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題名 漲跌幅限制下選擇權評價模型
作者 羅文宏
貢獻者 陳威光
羅文宏
關鍵詞 漲跌幅
選擇權
認購權證
美式選擇權
price limits
option
warrant
American option
日期 2001
上傳時間 15-Apr-2016 16:05:20 (UTC+8)
摘要 在傳統的Black-Scholes(B-S)選擇權評價公式中，並未將標的資產的漲跌幅限制(price limits)考慮進來。但是在某些國家如日本、韓國、台灣等其股票市場是有漲跌幅限制的。因此如果還是用傳統的B-S公式來評價，將會產生嚴重的誤差。而且在考慮漲跌幅限制下對於波動度(volatility)的估計，亦不同於傳統的計量方法，因為在漲跌幅限制下，價格會受到嚴重的扭曲，導致傳統的計量方法不再適用。本文的目的在推導出漲跌幅限制下選擇權之評價公式來取代B-S公式，並提供兩種估計波動度的方法，進而得出在考慮漲跌幅限制下正確的選擇權價值。我們發現距到期日越近、漲跌幅限制越小、波動度越大、越價外，標準B-S公式的評價誤差越嚴重。而本模型所推導的公式的誤差，相較B-S公式來的小。且實證結果也發現對較常碰觸漲跌停板的樣本而言利用GMM法來估計波動度較歷史波動度來的準確，其評價誤差也相對較小。
參考文獻 Black, F. and M. Scholes. (1973), The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81:637-659, May.
     Chen, Rosenburg and Lee (2001), Estimating Volatility in Markets with Price Limits, Working Paper, University of Miami.
     Chen, K. W., and Shen, C. H.(1999), The Valuation Option When the Underlying Asset Prices Under Price Limits. Working Paper.
     Chen, K. W.,and Luo, W.H.(2001), The Pricing Model of Option When Daily Prices Subject to Price Limits, 21世紀全球投資策略研討會, 民國90年3月.
     Chiang, R., and K. C. John Wei (1995), Price Limits and Estimation of Expected Return and Risk. Technical Report, Working Paper, University of Miami.
     Chou, P. H. (1997), Estimating the Systematic Risk under Price Limits: A Gibbs Sampler Approach. Pacific Basin Finance Journal, forthcoming.
     Geske, R. and H.E. Johnson (1984), The American Put Valued Analytically, Journal of Financial Economics, 3:125-144.
     Ho T.S., Richard C. Stapleton and Marti G. Subrahmanyam (1994), A Simple Technique for the Valuation and Hedging of American Option, Journal of Derivatives, Fall, 52-56.
     Junhwa Ban, Hyeong In Choi and Hyejin Ku (2000), Valuation of European Options in The Market With Daily Price Limit, Applied Mathematical Finance 7,61-74.
     Ma, C. K., and R. P. Rao and S. R. Sears. (1989b), Volatility, Price Resolution, and the Effectiveness of Price Limits. Journal of Financial Services Research, 3:165-199.
     Merton, R. (1976), Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3:125-144.
     Shen, C. H. and P. H. Chou, (1997), Day-of-Week Effect and Price Limits---A Gibbs Sampler Approach. Economic Essays, Academic Sinica, forthcoming.
描述 碩士
國立政治大學
經濟學系
88258001
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001222
資料類型 thesis
dc.contributor.advisor 陳威光zh_TW
dc.contributor.author (Authors) 羅文宏zh_TW
dc.creator (作者) 羅文宏zh_TW
dc.date (日期) 2001en_US
dc.date.accessioned 15-Apr-2016 16:05:20 (UTC+8)-
dc.date.available 15-Apr-2016 16:05:20 (UTC+8)-
dc.date.issued (上傳時間) 15-Apr-2016 16:05:20 (UTC+8)-
dc.identifier (Other Identifiers) A2002001222en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85014-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 88258001zh_TW
dc.description.abstract (摘要) 在傳統的Black-Scholes(B-S)選擇權評價公式中，並未將標的資產的漲跌幅限制(price limits)考慮進來。但是在某些國家如日本、韓國、台灣等其股票市場是有漲跌幅限制的。因此如果還是用傳統的B-S公式來評價，將會產生嚴重的誤差。而且在考慮漲跌幅限制下對於波動度(volatility)的估計，亦不同於傳統的計量方法，因為在漲跌幅限制下，價格會受到嚴重的扭曲，導致傳統的計量方法不再適用。本文的目的在推導出漲跌幅限制下選擇權之評價公式來取代B-S公式，並提供兩種估計波動度的方法，進而得出在考慮漲跌幅限制下正確的選擇權價值。我們發現距到期日越近、漲跌幅限制越小、波動度越大、越價外，標準B-S公式的評價誤差越嚴重。而本模型所推導的公式的誤差，相較B-S公式來的小。且實證結果也發現對較常碰觸漲跌停板的樣本而言利用GMM法來估計波動度較歷史波動度來的準確，其評價誤差也相對較小。zh_TW
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     目錄
     第一章 緒論
     第二章 漲跌幅限制下的股價行為
     第一節 漲跌幅限制下的股價行為
     第三章 漲跌幅限制下的選擇權評價模型
     第一節 Black and Scholes選擇權評價模型
     第3.1.1節 標準B-S公式
     第3.1.2節 標準B-S公式之拆解
     第二節 考慮一天漲跌幅限制之選擇權評價公式
     第三節 考慮兩天漲跌幅限制之選擇權評價公式
     第四節 考慮漲跌幅限制選擇權之逼近解
     第3.4.1節 G.J.複合選擇權評價法
     第3.4.2節 H.S.S.指數約估法
     第五節 避險參數
     第四章 漲跌幅限制下波動度的估計
     第一節 估計真實波動度（GMM模型）
     第二節 估計真實波動度（WTM模型）
     第五章 電腦模擬結果
     第六章 實證結果
     第七章 結論
     文獻參考
     附錄
     附錄一 世界各主要交易所實施漲跌幅限制的情形
     附錄二 G.J.法說明		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001222en_US
dc.subject (關鍵詞) 漲跌幅zh_TW
dc.subject (關鍵詞) 選擇權zh_TW
dc.subject (關鍵詞) 認購權證zh_TW
dc.subject (關鍵詞) 美式選擇權zh_TW
dc.subject (關鍵詞) price limitsen_US
dc.subject (關鍵詞) optionen_US
dc.subject (關鍵詞) warranten_US
dc.subject (關鍵詞) American optionen_US
dc.title (題名) 漲跌幅限制下選擇權評價模型zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Black, F. and M. Scholes. (1973), The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81:637-659, May.
     Chen, Rosenburg and Lee (2001), Estimating Volatility in Markets with Price Limits, Working Paper, University of Miami.
     Chen, K. W., and Shen, C. H.(1999), The Valuation Option When the Underlying Asset Prices Under Price Limits. Working Paper.
     Chen, K. W.,and Luo, W.H.(2001), The Pricing Model of Option When Daily Prices Subject to Price Limits, 21世紀全球投資策略研討會, 民國90年3月.
     Chiang, R., and K. C. John Wei (1995), Price Limits and Estimation of Expected Return and Risk. Technical Report, Working Paper, University of Miami.
     Chou, P. H. (1997), Estimating the Systematic Risk under Price Limits: A Gibbs Sampler Approach. Pacific Basin Finance Journal, forthcoming.
     Geske, R. and H.E. Johnson (1984), The American Put Valued Analytically, Journal of Financial Economics, 3:125-144.
     Ho T.S., Richard C. Stapleton and Marti G. Subrahmanyam (1994), A Simple Technique for the Valuation and Hedging of American Option, Journal of Derivatives, Fall, 52-56.
     Junhwa Ban, Hyeong In Choi and Hyejin Ku (2000), Valuation of European Options in The Market With Daily Price Limit, Applied Mathematical Finance 7,61-74.
     Ma, C. K., and R. P. Rao and S. R. Sears. (1989b), Volatility, Price Resolution, and the Effectiveness of Price Limits. Journal of Financial Services Research, 3:165-199.
     Merton, R. (1976), Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3:125-144.
     Shen, C. H. and P. H. Chou, (1997), Day-of-Week Effect and Price Limits---A Gibbs Sampler Approach. Economic Essays, Academic Sinica, forthcoming.		zh_TW