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題名 不完美財務市場下選擇權避險策略與評價
The Hedging Strategies and Valuation of Options in The Imperfect Markets作者 程言信
Cheng, Yen Shin貢獻者 胡聯國
Len Kuo Hu
程言信
Yen Shin Cheng關鍵詞 不完美市場
選擇權評價
避險策略
Imperfect Markets
Options Pricing
Hedging Strategies日期 1998 上傳時間 20-Apr-2016 17:16:15 (UTC+8) 摘要 本文在不完美財務市場(Imperfect Markets)的假設下，探討採取不同的選擇權的避險策略與對選擇權評價模式的影響，並分析最適避險策略。在這裡所提到的不完美市場指的是無法連續時點的交易、交易時產生交易成本及異質訊息交易者。結果在不完美因素的考量下，其避險策略將不再是完美避險(Delta Hedge)，應適當考慮避險策略。不同於Leland(1985)的分析方式，在此透過不同的避險策略分析去探討比較不完美市場產生的差異，分別以最小變異數避險分析及平均數--變異數避險分析，探討不完美市場對選擇權評價的影響。 參考文獻 參考文獻\r\n一、中文部分\r\n林丙輝 (民八七) ，「不完美市場下之選擇權評價：評論」， 中國財務學刊， 第五卷第三期， 第55－60頁 。\r\n許溪南 (民八六) ，「不完美市場下之選擇權評價」， 中國財務學刊，第四卷第三期， 第13－43頁。\r\n陳松男 (民八七) ，「在間斷性避險及交易成本下選擇權評價模型：以實務觀點修正理論」，政治大學財務工程與衍生性金融商品中心研討會。\r\n廖四郎 (民八七)，「從Black-Scholes模型分析論數理財務模型之發展」，亞太經濟管理評論，第二卷第一期， 第97-123頁。\r\n二、英文部分\r\nAhn, C. M. (1992) \"Option Pricing When Jump Risk is Systematic ,\" Mathematical Finance, V.2 , No4, pp299-308.\r\nAvellaneda, M. and A. Paras, (1994) \"Dynamic Hedging Portfolios For Derivative Securities in the Presence of Large Transaction Costs\" Applied Mathematical Finance, 1, pp.165-193.\r\nBachelier, L. (1900) \"Theory of Speculation \" (English Translation), in P. Cootner, ed.,1964, The Random Character of Stock Market Prices (MIT Press, Cambridge, Mass.) pp17-78.\r\nBesaid, B., Lesne, J. P., Pages, H., and Sheinkman, J. (1992), \"Derivative Asset Pricing with Transaction Costs,\" Mathematical Finance, 2, pp. 63-86.\r\nBlack, F., and M. Scholes, (1973), \"The Pricing of Options and Corporat Liabilities.\" Journal of Political Economy, 81, pp. 637-654.\r\nBoness, A. J. (1964) \"Some Evidence On the Profitability of Trading in Put and Call Options, in P. Cootner, ed.,1964, The Random Character of Stock Market Prices (MIT Press, Cambridge, Mass.) pp475-496.\r\nBoyle, P. P., and D. Emanuel, (1980), \"Discretely Adjusted Option Hedges.\" Journal of Financial Economics, 8, pp. 259-282.\r\nBoyle, P. P. and X. Lin, (1997), \"Valuation of Options on Several Risky Assets When there are Transactions Costs \",Advances in Futures and Options Research ,pp. 111-129.\r\nBoyle, P. P., and T. Vorst, (1992), \"Option Replication in Discrete Time with Transaction Costs.\" Journal of Finance, 47, pp. 271-293.\r\nBrennan, M. (1979), \"The Pricing of Contigent Claims in Discrete Time Model \" Journal of Finance ,pp.449-462.\r\nConstantinides, G. M. (1986), \"Capital Market Eqilibrium with Transaction Costs.\" Journal of Political Economy, 94, pp. 842-862.\r\nCox ,J.C.and S. A. Ross, (1976), \"The Valuation of Optios for Alternative Stochastic Processes.\", Journal of Financial Economic. 3, pp. 145-166.\r\nCvitanic, J., Pham, H. and N. Touzi, (1999), \"A Closed-Form Solution to the Problem of Super-replication under Transaction Costs.\" Finance and Stochastics, 3, pp.35-54.\r\nDavis, M. H. A., V. G. Panas, , and T. Zariphopoulou, (1993), \" European Options Pricing with Transaction Costs.\" SIAM Journal of Control and Optimization., 31, pp. 470-493.\r\nDavis, M. H. A., and T. Zariphopoulou, (1995), \"American Options and Transaction Fees,\" in Mathematical Finance, eds. M. H. A. Davis et al. The IMA Volumes in Mathematics and Its Applications, vol. 65, Springer-Verlag, pp. 47-62.\r\nDiltz, J.D. and S. Swidler (1993), \"A comparison of Actual and Theoretical Transaction Cost Estimates for CBOE-listed Options\" , Advances in Futures and Options Research , 6, pp. 355-365.\r\nDothan, M. U. (1990), \"Prices in Financial Markets\" , Oxford University Press, NY.\r\nDuffie, D. (1996), \"Dynamic Asset Pricing Theory.\" , Princeton University Press.\r\nEdirisinghe, C. , V. Naik, and R. Uppal, (1993), \"Optimal Replications with Transactions Costs and Trading Restrictions\", Journal of Financial and Quantitative Analysis, pp. 117-138.\r\nElliott R. J. , H. German and B. M. Korkie,(1997),\"Portfolio Optimization and Contigent Claim Pricing with Differential Information\", Stochastics and Stochastics Reports, pp.185-203.\r\nFiglewski, S. (1989),\"Options Arbitrage in Imperfect Markets,\" Journal of Finance, 44, pp.1289-1311.\r\nFiglewski, S. (1989),\" What Does an Option Pricing Model Tell us About Options Prices,\" Financial analysts Journal\r\nGastineau, G. L. (1997), \"Comment on John E. Gilster, Jr. -- ` Option Pricing Theory : Is `Risk - Free` Hedging Feasible ? ` \", Financial Management, pp.109-113.\r\nGilster, J.E. Jr,(1990) \"The Systematic Risk of Discretely Rebalanced Option Hedges.\" , Journal of Financial and Quantitative Analysis, pp. 507-516.\r\nGilster, J.E. Jr, (1997), \"Option Pricing Theory : Is `Risk - Free` Hedging Feasible ? \" Financial Management V.26, pp. 91-105.\r\nHarrison, J.M. and D. Kreps, (1979), \"Martingale and Arbitrage in Multiperiod Securities Markets.\", Journal of Economic Theory ,20, pp.381-408.\r\nHarrison, J.M. and S.R. Pliska, (1981), \"Martingale and Stochastic Integrals in The Theory of Continuous Trading.\", Stochastic Processes and Their Applications, 11, pp.261-271.\r\nHoggard, T., A.E. Whalley, and P. Wilmott, (1994), \"Hedging Option Portfolios in the Presence of Transaction Costs,\" Advances futures and Options Research, 7, pp. 21- 35.\r\nHodges, S. D. and A. Neuberger, (1989),` Optimal Replication of Contigent Claims under Transactions Costs.\" Review of Futures Markets, 8, pp. 222-239.\r\nHull, J. and A. White (1987),\"The Pricing of Options o Assets with Stochastic Volatilities\", Journal of Finance, 42 ,pp. 281-300.\r\nHussaini, A. and R. J. Elliott, (1987), \"Enlarged filtrations for diffusions,\" Stochastic Processes and Applications, 24, pp. 99-107.\r\nIngersoll, J.E. (1987) \"Theory of Financial Decision Making\", Rowman & Littlefield.\r\nJacod, J. (1985) \" Grossissment Initial, Hypothese (H`) et Theoreme de Girsanov \" in Jeulin and Yor , Lecture Notes in Mathematics 1118, pp. 15-35\r\nJarrow, R. A. (1994), \"Derivative Security Markets, Markets Manipulation and Options Pricing Theory.\", Journal of Financial and Quantitative Analysis, pp.241-261.\r\nJarrow, R. (1997),\" Review of John E. Gilster, Jr. -- ` Option Pricing Theory : Is `Risk - Free` Hedging Feasible ? ` \", Financial Management, pp.106-108.\r\nKorn, R. and P. Willmott, (1998), \"A General Framework for Hedging and speculating with Options.\" OCIAM Working Paper. Oxford University.\r\nLeland, H. E. (1985), \"Option Pricing and Replication with Transaction Costs, \" Journal of Finance, 40, pp. 1283-1301.\r\nLo, A.W. and J.Wang, (1995) \" Implementing Option Pricing Models When Assets Returns Are Predictable \" Journal of Finance ,pp.87-129.\r\nMcGuire ,D.C. and R. J. Kudla, (1991) \"Option Prices as an Indicator of Stock Return Expections\" Journal of Business Finnace and Accounting , pp.421-429.\r\nMerton, R. (1971), \"Optimum Consumption and Portfolio Rules in a Continuous Time Model.\" Journal of Economic Theory, 3, pp.373-413.\r\nMerton, R. (1973), \"The Theory of Rational Option Pricing Model.\" Bell Journal of Economics and Management Science, 4, pp.141-183.\r\nMerton, R. A. (1992), Continuous Time Finance , Oxford , Basil-Blackwell\r\nMohamed, B.(1994), \"Simulations of Transaction Costs and Optimal Rehedging.\", Applied Mathematical Finance, 1, pp.49-62.\r\nO`Brien, T. J. (1986),\"A Discrete Time Option Model Dependent on Expected Return: A Note,\" Journal of Finance, 41, pp.515-520\r\nRubinstein, M. (1976) \"The Valuation of Uncertain Income Streams and the Pricing of Options \", Bell Journal of Economics, pp.407-425.\r\nShefrin, H. and M. Statman, (1994), \"Behavior Capital Asset Pricing Theory.\" Journal of Financial and Quantitative Analysis , V.29. , No.3 , pp.323-349.\r\nScott, I. O. (1987), \"Option Pricing When the Variance Change Randomly : Theory ,Estimation, and Application\", Journal of Financial and Quantitative Analysis , pp.419-438.\r\nSmith C. W. Jr. (1976)\"Option Pricing: A Review,\" Journal of Financial Economics, 3, pp.3-51.\r\nSoner, H. , S. E. Shreve, and J. Cvitanic, (1995), \"There is No Nontrivial Hedging Portfolio for Option Pricing with Transactions Costs.\" Annuals of Applied Probability, V.5, No2, pp.327-355.\r\nSprenkle,C. M.(1964)\"Warrant Prices As Indicators of Expections and Preference\" , in P. Cootner, ed.,1964, The Random Character of Stock Market Prices (MIT Press, Cambridge, Mass.) pp412-474.\r\nWhalley, A. E., and P. Wilmott , (1993), \"Counting the Costs\" Risk ,V6. No10. pp. 59-62.\r\nWhalley, A. E. and P. Wilmott, (1997) \"An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs\", Mathematical Finance, V.7, No.3, pp.307-324.\r\nWiggens, J.B. (1987), \"Option Values Under Stochastic Volatility : Theory and Empirical Estimates\", Journal of Finanial Economics , pp.351-372.\r\nWilmott P.(1994), \"Discrete Charms\" , Risk , V7. No3. pp 48-52. 描述 博士
國立政治大學
國際經營與貿易學系
81351007資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001529 資料類型 thesis dc.contributor.advisor 胡聯國 zh_TW dc.contributor.advisor Len Kuo Hu en_US dc.contributor.author (Authors) 程言信 zh_TW dc.contributor.author (Authors) Yen Shin Cheng en_US dc.creator (作者) 程言信 zh_TW dc.creator (作者) Cheng, Yen Shin en_US dc.date (日期) 1998 en_US dc.date.accessioned 20-Apr-2016 17:16:15 (UTC+8) - dc.date.available 20-Apr-2016 17:16:15 (UTC+8) - dc.date.issued (上傳時間) 20-Apr-2016 17:16:15 (UTC+8) - dc.identifier (Other Identifiers) B2002001529 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=95902 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 81351007 zh_TW dc.description.abstract (摘要) 本文在不完美財務市場(Imperfect Markets)的假設下，探討採取不同的選擇權的避險策略與對選擇權評價模式的影響，並分析最適避險策略。在這裡所提到的不完美市場指的是無法連續時點的交易、交易時產生交易成本及異質訊息交易者。結果在不完美因素的考量下，其避險策略將不再是完美避險(Delta Hedge)，應適當考慮避險策略。不同於Leland(1985)的分析方式，在此透過不同的避險策略分析去探討比較不完美市場產生的差異，分別以最小變異數避險分析及平均數--變異數避險分析，探討不完美市場對選擇權評價的影響。 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001529 en_US dc.subject (關鍵詞) 不完美市場 zh_TW dc.subject (關鍵詞) 選擇權評價 zh_TW dc.subject (關鍵詞) 避險策略 zh_TW dc.subject (關鍵詞) Imperfect Markets en_US dc.subject (關鍵詞) Options Pricing en_US dc.subject (關鍵詞) Hedging Strategies en_US dc.title (題名) 不完美財務市場下選擇權避險策略與評價 zh_TW dc.title (題名) The Hedging Strategies and Valuation of Options in The Imperfect Markets en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻\r\n一、中文部分\r\n林丙輝 (民八七) ，「不完美市場下之選擇權評價：評論」， 中國財務學刊， 第五卷第三期， 第55－60頁 。\r\n許溪南 (民八六) ，「不完美市場下之選擇權評價」， 中國財務學刊，第四卷第三期， 第13－43頁。\r\n陳松男 (民八七) ，「在間斷性避險及交易成本下選擇權評價模型：以實務觀點修正理論」，政治大學財務工程與衍生性金融商品中心研討會。\r\n廖四郎 (民八七)，「從Black-Scholes模型分析論數理財務模型之發展」，亞太經濟管理評論，第二卷第一期， 第97-123頁。\r\n二、英文部分\r\nAhn, C. M. (1992) \"Option Pricing When Jump Risk is Systematic ,\" Mathematical Finance, V.2 , No4, pp299-308.\r\nAvellaneda, M. and A. Paras, (1994) \"Dynamic Hedging Portfolios For Derivative Securities in the Presence of Large Transaction Costs\" Applied Mathematical Finance, 1, pp.165-193.\r\nBachelier, L. (1900) \"Theory of Speculation \" (English Translation), in P. Cootner, ed.,1964, The Random Character of Stock Market Prices (MIT Press, Cambridge, Mass.) pp17-78.\r\nBesaid, B., Lesne, J. P., Pages, H., and Sheinkman, J. (1992), \"Derivative Asset Pricing with Transaction Costs,\" Mathematical Finance, 2, pp. 63-86.\r\nBlack, F., and M. Scholes, (1973), \"The Pricing of Options and Corporat Liabilities.\" Journal of Political Economy, 81, pp. 637-654.\r\nBoness, A. J. (1964) \"Some Evidence On the Profitability of Trading in Put and Call Options, in P. Cootner, ed.,1964, The Random Character of Stock Market Prices (MIT Press, Cambridge, Mass.) pp475-496.\r\nBoyle, P. P., and D. Emanuel, (1980), \"Discretely Adjusted Option Hedges.\" Journal of Financial Economics, 8, pp. 259-282.\r\nBoyle, P. P. and X. Lin, (1997), \"Valuation of Options on Several Risky Assets When there are Transactions Costs \",Advances in Futures and Options Research ,pp. 111-129.\r\nBoyle, P. P., and T. Vorst, (1992), \"Option Replication in Discrete Time with Transaction Costs.\" Journal of Finance, 47, pp. 271-293.\r\nBrennan, M. (1979), \"The Pricing of Contigent Claims in Discrete Time Model \" Journal of Finance ,pp.449-462.\r\nConstantinides, G. M. (1986), \"Capital Market Eqilibrium with Transaction Costs.\" Journal of Political Economy, 94, pp. 842-862.\r\nCox ,J.C.and S. A. Ross, (1976), \"The Valuation of Optios for Alternative Stochastic Processes.\", Journal of Financial Economic. 3, pp. 145-166.\r\nCvitanic, J., Pham, H. and N. Touzi, (1999), \"A Closed-Form Solution to the Problem of Super-replication under Transaction Costs.\" Finance and Stochastics, 3, pp.35-54.\r\nDavis, M. H. A., V. G. Panas, , and T. Zariphopoulou, (1993), \" European Options Pricing with Transaction Costs.\" SIAM Journal of Control and Optimization., 31, pp. 470-493.\r\nDavis, M. H. A., and T. Zariphopoulou, (1995), \"American Options and Transaction Fees,\" in Mathematical Finance, eds. M. H. A. Davis et al. The IMA Volumes in Mathematics and Its Applications, vol. 65, Springer-Verlag, pp. 47-62.\r\nDiltz, J.D. and S. Swidler (1993), \"A comparison of Actual and Theoretical Transaction Cost Estimates for CBOE-listed Options\" , Advances in Futures and Options Research , 6, pp. 355-365.\r\nDothan, M. U. (1990), \"Prices in Financial Markets\" , Oxford University Press, NY.\r\nDuffie, D. (1996), \"Dynamic Asset Pricing Theory.\" , Princeton University Press.\r\nEdirisinghe, C. , V. Naik, and R. Uppal, (1993), \"Optimal Replications with Transactions Costs and Trading Restrictions\", Journal of Financial and Quantitative Analysis, pp. 117-138.\r\nElliott R. J. , H. German and B. M. Korkie,(1997),\"Portfolio Optimization and Contigent Claim Pricing with Differential Information\", Stochastics and Stochastics Reports, pp.185-203.\r\nFiglewski, S. (1989),\"Options Arbitrage in Imperfect Markets,\" Journal of Finance, 44, pp.1289-1311.\r\nFiglewski, S. (1989),\" What Does an Option Pricing Model Tell us About Options Prices,\" Financial analysts Journal\r\nGastineau, G. L. (1997), \"Comment on John E. Gilster, Jr. -- ` Option Pricing Theory : Is `Risk - Free` Hedging Feasible ? ` \", Financial Management, pp.109-113.\r\nGilster, J.E. Jr,(1990) \"The Systematic Risk of Discretely Rebalanced Option Hedges.\" , Journal of Financial and Quantitative Analysis, pp. 507-516.\r\nGilster, J.E. Jr, (1997), \"Option Pricing Theory : Is `Risk - Free` Hedging Feasible ? \" Financial Management V.26, pp. 91-105.\r\nHarrison, J.M. and D. Kreps, (1979), \"Martingale and Arbitrage in Multiperiod Securities Markets.\", Journal of Economic Theory ,20, pp.381-408.\r\nHarrison, J.M. and S.R. Pliska, (1981), \"Martingale and Stochastic Integrals in The Theory of Continuous Trading.\", Stochastic Processes and Their Applications, 11, pp.261-271.\r\nHoggard, T., A.E. Whalley, and P. Wilmott, (1994), \"Hedging Option Portfolios in the Presence of Transaction Costs,\" Advances futures and Options Research, 7, pp. 21- 35.\r\nHodges, S. D. and A. Neuberger, (1989),` Optimal Replication of Contigent Claims under Transactions Costs.\" Review of Futures Markets, 8, pp. 222-239.\r\nHull, J. and A. White (1987),\"The Pricing of Options o Assets with Stochastic Volatilities\", Journal of Finance, 42 ,pp. 281-300.\r\nHussaini, A. and R. J. Elliott, (1987), \"Enlarged filtrations for diffusions,\" Stochastic Processes and Applications, 24, pp. 99-107.\r\nIngersoll, J.E. (1987) \"Theory of Financial Decision Making\", Rowman & Littlefield.\r\nJacod, J. (1985) \" Grossissment Initial, Hypothese (H`) et Theoreme de Girsanov \" in Jeulin and Yor , Lecture Notes in Mathematics 1118, pp. 15-35\r\nJarrow, R. A. (1994), \"Derivative Security Markets, Markets Manipulation and Options Pricing Theory.\", Journal of Financial and Quantitative Analysis, pp.241-261.\r\nJarrow, R. (1997),\" Review of John E. Gilster, Jr. -- ` Option Pricing Theory : Is `Risk - Free` Hedging Feasible ? ` \", Financial Management, pp.106-108.\r\nKorn, R. and P. Willmott, (1998), \"A General Framework for Hedging and speculating with Options.\" OCIAM Working Paper. Oxford University.\r\nLeland, H. E. (1985), \"Option Pricing and Replication with Transaction Costs, \" Journal of Finance, 40, pp. 1283-1301.\r\nLo, A.W. and J.Wang, (1995) \" Implementing Option Pricing Models When Assets Returns Are Predictable \" Journal of Finance ,pp.87-129.\r\nMcGuire ,D.C. and R. J. Kudla, (1991) \"Option Prices as an Indicator of Stock Return Expections\" Journal of Business Finnace and Accounting , pp.421-429.\r\nMerton, R. (1971), \"Optimum Consumption and Portfolio Rules in a Continuous Time Model.\" Journal of Economic Theory, 3, pp.373-413.\r\nMerton, R. (1973), \"The Theory of Rational Option Pricing Model.\" Bell Journal of Economics and Management Science, 4, pp.141-183.\r\nMerton, R. A. (1992), Continuous Time Finance , Oxford , Basil-Blackwell\r\nMohamed, B.(1994), \"Simulations of Transaction Costs and Optimal Rehedging.\", Applied Mathematical Finance, 1, pp.49-62.\r\nO`Brien, T. J. (1986),\"A Discrete Time Option Model Dependent on Expected Return: A Note,\" Journal of Finance, 41, pp.515-520\r\nRubinstein, M. (1976) \"The Valuation of Uncertain Income Streams and the Pricing of Options \", Bell Journal of Economics, pp.407-425.\r\nShefrin, H. and M. Statman, (1994), \"Behavior Capital Asset Pricing Theory.\" Journal of Financial and Quantitative Analysis , V.29. , No.3 , pp.323-349.\r\nScott, I. O. (1987), \"Option Pricing When the Variance Change Randomly : Theory ,Estimation, and Application\", Journal of Financial and Quantitative Analysis , pp.419-438.\r\nSmith C. W. Jr. (1976)\"Option Pricing: A Review,\" Journal of Financial Economics, 3, pp.3-51.\r\nSoner, H. , S. E. Shreve, and J. Cvitanic, (1995), \"There is No Nontrivial Hedging Portfolio for Option Pricing with Transactions Costs.\" Annuals of Applied Probability, V.5, No2, pp.327-355.\r\nSprenkle,C. M.(1964)\"Warrant Prices As Indicators of Expections and Preference\" , in P. Cootner, ed.,1964, The Random Character of Stock Market Prices (MIT Press, Cambridge, Mass.) pp412-474.\r\nWhalley, A. E., and P. Wilmott , (1993), \"Counting the Costs\" Risk ,V6. No10. pp. 59-62.\r\nWhalley, A. E. and P. Wilmott, (1997) \"An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs\", Mathematical Finance, V.7, No.3, pp.307-324.\r\nWiggens, J.B. (1987), \"Option Values Under Stochastic Volatility : Theory and Empirical Estimates\", Journal of Finanial Economics , pp.351-372.\r\nWilmott P.(1994), \"Discrete Charms\" , Risk , V7. No3. pp 48-52. zh_TW
