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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁(Larry Y. Tzeng) | |
| dc.contributor.author | Yo-Lan Lin | en |
| dc.contributor.author | 林友嵐 | zh_TW |
| dc.date.accessioned | 2021-06-07T17:40:34Z | - |
| dc.date.copyright | 2020-07-28 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-07-26 | |
| dc.identifier.citation | Bernardo, A. E., Ledoit, O. (2000). Gain, loss, and asset pricing. Journal of Political Economy, 108(1), 144–172. Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654. Chen, T.-Y., Lin, Y.-L., Tzeng, L. Y. (2020). Almost stochastic dominance under rank-dependent expected utility [Working paper]. Cochrane, J. H., Saá-Requejo, J. (2000). Beyond arbitrage: Good-deal asset price bounds in incomplete markets. Journal of Political Economy, 108(1), 79–119. Constantinides, G. M., Jackwerth, J. C., Perrakis, S. (2009). Mispricing of S P 500 index options. Review of Financial Studies, 22(3), 1247–1277. Constantinides, G. M., Perrakis, S. (2002). Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs. Journal of Economic Dynamics and Control, 26(7), 1323–1352. Constantinides, G. M., Perrakis, S. (2007). Stochastic dominance bounds on American option prices in markets with frictions. Review of Finance, 11(1), 71–115. Levy, H. (1985). Upper and lower bounds of put and call option value: Stochastic dominance approach. Journal of Finance, 40(4), 1197–1217. Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1), 141–183. Perrakis, S. (2019). Stochastic dominance option pricing: An alternative approach to option market research. Palgrave Macmillan. Perrakis, S., Ryan, P. J. (1984). Option pricing bounds in discrete time. Journal of Finance, 39(2), 519–525. Polkovnichenko, V., Zhao, F. (2013). Probability weighting functions implied in options prices. Journal of Financial Economics, 107(3), 580–609. Prelec, D. (1998). The probability weighting function. Econometrica, 66(3), 497–527. Quiggin, J. (1982). A theory of anticipated utility. Journal of Economic Behavior Organization, 3(4), 323–343. Quiggin, J. (1993). Generalized expected utility theory: The rank-dependent model. Kluwer Academic Publishers. Ritchken, P. H. (1985). On option pricing bounds. Journal of Finance, 40(4), 1219–1233. Rosenberg, J. V., Engle, R. F. (2002). Empirical pricing kernels. Journal of Financial Economics, 64(3), 341–372. Tsetlin, I., Winkler, R. L., Huang, R. J., Tzeng, L. Y. (2015). Generalized almost stochastic dominance. Operations Research, 63(2), 363–377. Tversky, A., Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 5(4), 297–323. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15431 | - |
| dc.description.abstract | 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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-07T17:40:34Z (GMT). No. of bitstreams: 1 U0001-2307202017094600.pdf: 1025302 bytes, checksum: 99953ad686ecda6e5d49a6e0a3426b9e (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 口試委員會審定書 i 感謝 ii 中文摘要 iii Abstract iv List of Figures vii Chapter 1 Introduction 1 Chapter 2 Theory 4 2.1 Stochastic Dominance and Rank-Dependent Expected Utility (RDEU) . . 4 2.2 Deriving the New Option Pricing Bounds . . . . . . . . . . . . . . . . . 5 2.2.1 Assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.2.2 The New Option Pricing Bounds . . . . . . . . . . . . . . . . . . 6 2.2.2.1 The Approach in Constantinides and Perrakis (2002) . . 7 2.2.2.2 Incorporating the Probability Weighting Function . . . 8 2.3 Discussions on the New Option Pricing Bounds . . . . . . . . . . . . . . 9 2.3.1 The Key Different Step . . . . . . . . . . . . . . . . . . . . . . . 9 2.3.2 Restrictions on Probability Weighting Functions . . . . . . . . . 10 Chapter 3 Numerical Analysis 12 3.1 Settings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 3.1.1 Stock Price Dynamics, Transaction Costs, and Strike Prices . . . 12 3.1.2 Probability Weighting Functions . . . . . . . . . . . . . . . . . . 12 3.1.3 Remarks on Calculations . . . . . . . . . . . . . . . . . . . . . . 13 3.2 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 3.3 Discussions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 3.3.1 The Effects of the Probability Weighting Function . . . . . . . . 15 3.3.2 Comparing with the Original Option Pricing Bounds . . . . . . . 18 Chapter 4 Conclusion 21 Bibliography 22 | |
| dc.language.iso | en | |
| dc.subject | 機率加權 | zh_TW |
| dc.subject | 選擇權價格上下界 | zh_TW |
| dc.subject | 歐式買權 | zh_TW |
| dc.subject | 隨機優越 | zh_TW |
| dc.subject | 序列相依期望效用 | zh_TW |
| dc.subject | stochastic dominance | en |
| dc.subject | rank-dependent expected utility | en |
| dc.subject | probability weighting | en |
| dc.subject | option pricing bounds | en |
| dc.subject | European call option | en |
| dc.title | 考慮機率加權函數之隨機優越選擇權價格上下界 | zh_TW |
| dc.title | Stochastic Dominance Option Pricing Bounds with Probability Weighting Functions | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 黃瑞卿(Rachel J. Huang),石百達(Pai-Ta Shih) | |
| dc.subject.keyword | 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, | zh_TW |
| dc.subject.keyword | option pricing bounds,European call option,stochastic dominance,rank-dependent expected utility,probability weighting, | en |
| dc.relation.page | 23 | |
| dc.identifier.doi | 10.6342/NTU202001795 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2020-07-27 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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