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標題: | 考慮機率加權函數之隨機優越選擇權價格上下界 Stochastic Dominance Option Pricing Bounds with Probability Weighting Functions |
作者: | Yo-Lan Lin 林友嵐 |
指導教授: | 曾郁仁(Larry Y. Tzeng) |
關鍵字: | 選擇權價格上下界,歐式買權,隨機優越,序列相依期望效用,機率加權, option pricing bounds,European call option,stochastic dominance,rank-dependent expected utility,probability weighting, |
出版年 : | 2020 |
學位: | 碩士 |
摘要: | 本文採用以隨機優越(stochastic dominance)方式求取的選擇權價格上下界(option pricing bounds),不同於過去文獻,本文根據序列相依期望效用(rank-dependent expected utility)理論,額外考慮機率加權函數(probability weighting function)的影響。論文中假設投資人的邊際效用函數為正且遞減,且所有投資人同意相同的機率加權函數。根據模擬結果,當股價服從幾何布朗運動時,若投資人認為股價上漲的機率較高,則上下界之間的距離會因此擴大。 We derive new option pricing bounds by incorporating probability weighting functions to option pricing bounds derived from a stochastic dominance approach. Our new bounds simultaneously consider a set of heterogeneous rank-dependent expected utility investors who have increasing concave utility functions and an identical probability weighting function. Based on our numerical analysis, when the stock price follows a geometric Brownian motion, the width of the bounds could possibly be enlarged if the investors weight more on favorable outcomes in the stock price distribution. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15431 |
DOI: | 10.6342/NTU202001795 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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U0001-2307202017094600.pdf 目前未授權公開取用 | 1 MB | Adobe PDF |
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