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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 胡星陽(Shing-yang Hu) | |
dc.contributor.author | Yen-Mou Huang | en |
dc.contributor.author | 黃彥謀 | zh_TW |
dc.date.accessioned | 2021-06-08T06:14:37Z | - |
dc.date.copyright | 2007-02-27 | |
dc.date.issued | 2007 | |
dc.date.submitted | 2007-02-04 | |
dc.identifier.citation | Bahra, B (1997). Implied Risk-Neutral Probability Density Functions From Option Prices: Theory and Application. Bank of England Working Paper, No. 66, July.
Bakshi, G., Cao, C., Chen, Z., (1997). Empirical performance of alternative option pricing models. Journal of Finance 52, 2003-2049. Black, F and M Scholes (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81, pp 637–59. Bookstaber, R.M. and MacDonald, J.B. (1987). A general distribution for describing security price returns. Journal of Business 60, 401-424. Dumas, B., J. Fleming, and R. Whaley (1998). Implied Volatility Functions: Empirical Tests. Journal of Finance, 53, (6), pp 2059–2106. Gemmill, G. and Saflekos, A. (2000). How Useful are Implied Distribution: Evidence from OTC Option Markets, Journal of Derivatives, 7, 3, 83-98 Jondeau, E. and Rockinger, M. (2000), Reading the smile: the message conveyed by methods which infer risk neutral densities. Journal of International Money and Finance 19, 885-915. Melick, W.R. and Thomas, C.P. (1997). Recovering an asset’s implied PDF from option prices: An application to crude oil during the Gulf crisis. Journal of Financial and Quantitative Analysis 32, 91-115. Ritchey, R.J. (1990). Call option valuation for discrete normal mixtures. Journal of Financial Research 13, 285-296. Rubinstein, M (1994). Implied Binomial Trees. Journal of Finance, 49 (3), July, pp 771–818. Shimko, D (1993). Bounds of Probability. Risk, 6 (4), April, 33–7. Taylor, S. J., (2005). Asset Price Dynamics, Volatility, and Prediction, Princeton University Press. 于學明(2001),權證價格隱含機率分配之研究,國立臺灣大學商學研究所未出版碩士論文 潘文良(2004),選擇權隱含機率分配之研究,國立臺灣大學財務金融學研究所未出版碩士論文 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25467 | - |
dc.description.abstract | 本論文使用在風險中立下的單一與雙重對數常態機率分配來比較臺指選擇權在動態避險與Out-of-Sample的表現。並且提出在最佳化參數估計的過程中,加入成交量做為權重的方式。單一對數機率分配在絕對避險的表現較佳,雙重對數機率分配在淨值避險的表現較佳。在Out-of-Sample的表現方面,雙重對數機率分配並且在最佳化過程中加入成交量做為權重的方式,可得到最佳的效果。從兩個市場大跌的事件來觀察,隱含機率分配之相關參數與市場當時的情緒與氣氛較有關連,但不足以預測未來價格。 | zh_TW |
dc.description.abstract | This thesis compares hedging and out-of-sample performance of TAIEX options by using risk-neutral single and double lognormal densities. Volume-weighted optimization is proposed for parameter estimations. Single lognormal performs better absolute hedging results and double lognormal has better dollar hedging ones. Double lognormal with volume-weighted optimization achieves the best out-of-sample results. Observing two events of market crash, parameters of implied distribution are correlated with the sentiment of market but do not have abilities to forecast future prices. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T06:14:37Z (GMT). No. of bitstreams: 1 ntu-96-R93723066-1.pdf: 488496 bytes, checksum: 0cfad9ada4de4dde24369544984aa24c (MD5) Previous issue date: 2007 | en |
dc.description.tableofcontents | 表 次 ii
圖 次 iii 第一章 緒論 - 1 - 第二章 研究方法與研究資料 - 5 - 第一節 研究方法 - 5 - 第二節 研究資料 - 8 - 第三節 避險表現的研究方法 - 14 - 第四節 預測表現的研究方法 - 15 - 第三章 研究結果與分析 - 17 - 第一節 動態避險的結果比較 - 17 - 第二節 預測能力比較 - 24 - 第三節 特殊事件的探討 - 30 - 第四章 結論 - 36 - 參考文獻 - 37 - | |
dc.language.iso | zh-TW | |
dc.title | 臺指選擇權在風險中立下隱含機率分配之研究
使用混和對數常態分配 | zh_TW |
dc.title | Empirical Performance of TAIEX Options
Using Risk-Neutral Mixture of Lognormal Distributions | en |
dc.type | Thesis | |
dc.date.schoolyear | 95-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳明賢(Mingshen Chen),王耀輝(Yaw-Huei Jeffrey Wang) | |
dc.subject.keyword | 選擇權,隱含機率分配,隱含波動率,對數常態, | zh_TW |
dc.subject.keyword | option,implied distribution,implied volatility,lognormal, | en |
dc.relation.page | 38 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2007-02-06 | |
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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