請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41329
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳業寧(Yehning Chen) | |
dc.contributor.author | Chien-Chih Lin | en |
dc.contributor.author | 林建志 | zh_TW |
dc.date.accessioned | 2021-06-15T00:15:55Z | - |
dc.date.available | 2009-06-24 | |
dc.date.copyright | 2009-06-24 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-06-10 | |
dc.identifier.citation | [1] Y. Ait-Sahalia, A. W. Lo, Estimation of State-Price
Densities Implicit in Financial Asset Prices, J. Financ. 53 (1998), 499-547. [2] E. W. Anderson, E. Ghysels, J. L. Juergens, Do Heterogeneous Beliefs Matter for Asset Pricing?, Rev. Financ. Stud. 18 (2005), 875-924. [3] G. Bakshi, C. Cao, Z. Chen, Empirical Performance of Alternative Option Pricing Models, J. Financ. 52 (1997), 2003-2049. [4] G. Bakshi, N. Kapadia, D. Madan, Stock Return Characteristics, Skew Laws, and Differential Pricing of Individual Equity Options, Rev. Financ. Stud. 16 (2003), 101-143. [5] S. Basak, Asset Pricing with Heterogeneous Beliefs, J. Bank. Financ 29 (2005), 2849-2881. [6] S. Basak, A Model of Dynamic Equilibrium Asset Pricing with Heterogeneous Beliefs and Extraneous Risk, J. Econ. Dynam. Control 24 (2000), 63-95. [7] A. Bernardo, I. Welch, On the Evolution of Overconfidence and Entrepreneurs, J. Econ. Manage. Strategy 10 (2001), 301-330. [8] F. Black, M. Scholes, Pricing of Options and Corporate Liabilities, J. Polit. Econ. 81 (1973), 637-654. [9] A. Buraschi, A. Jiltsov, Model Uncertainty and Option Markets with Heterogeneous Beliefs, J. Financ. 61 (2006), 2841-2897. [10] J. C. Cox, C.-F. Huang, Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process, J. Econ. Theory 49 (1989), 33-83. [11] K. Daniel, D. Hirshleifer, A. Subrahmanyam, Investor Psychology and Security Market Under- and Overreactions, J. Financ. 53 (1998), 1839- 1885. [12] A. David, Heterogeneous Beliefs, Speculation, and the Equity Premium, working paper (2006). [13] J. Detemple, S. Murthy, Intertemporal Asset Pricing with Heterogeneous Information, J. Econ. Theory 62 (1994), 294-320. [14] D. Duffie, J. Pan, K. Singleton, Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica 68 (2000), 1343-1376. [15] D. Duffie, G. M. Constantinides, Asset Pricing with Heterogeneous Consumers, J. Polit. Econ. 104 (1996), 219-240. [16] B. Dumas, A. Kurshev, R. Uppal, Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, working paper (2008). [17] B. D. Grundy, Y. Kim, Stock Market Volatility in a Heterogeneous Information Economy, J. Financ. Quant. Anal. 37 (2002), 1-27. [18] C. Guo, Option Pricing with Heterogeneous Expectations, Financ. Rev. 33 (1998), 81-92. [19] M. Harrison, D. Kreps, Speculative Investor Behavior in a Stock Market with Heterogenous Expectation, Q. J. Econ. 92 (1978), 323-336. [20] J. Hull, Options, Futures, and Other Drivative Securities (4th ed.), Prentice-Hall, NJ, 2000, pp. 237- 262. [21] E. Jouini, C. Napp, Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs, Rev. Econ. Stud. 74 (2007), 1149-1174. [22] M. Kurz, On the Structure and Diversity of Rational Beliefs, Econ. Theory 4 (1994), 877-900. [23] M. Kurz, Beauty Contests under Private Information and Diverse Beliefs: How Different?, J. Math. Econ. (2008), 762-784. [24] A.S. Kyle, F.A. Wang, Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test?, J. Financ. 5 (1997), 2073-2090. [25] T. Li, Heterogeneous Beliefs, Asset Prices and Volatility in a Pure Exchange Economy, J. Econ. Dyn. Control (2006), 1-30. [26] R. S. Liptser, A.N. Shiryayev, Statistics of Random Processes II, Springer-Verlag, NY, 1978, pp. 1-21. [27] D. Madan, P. Carr, E. Chang, The Variance Gamma Process and Option Pricing, Eur. J. Financ. 1 (1998), 39-55. [28] R. C. Merton, Optimum Consumption and Portfolio Rules in a Continuous-Time Model, J. Econ. Theory 3 (1971), 373-413. [29] T. Odean, Volume, Volatility, Price and Profit When All Traders Are Above Average, J. Financ. 53 (1998), 1887-1934. [30] J. Pan, The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study, J. Financ. Econ. 63 (2002), 3-50. [31] M. Rubinstein, An Aggregation Theorem for Securities Markets, J. Econ. 1 (1974), 225-244. [32] M. Rubinstein, Implied Binomial Trees, J. Financ. 49 (1994), 771-818. [33] J. A. Scheinkman, W. Xiong, Overconfidence and speculative bubbles, J. Polit. Econ. 111 (2003), 1183- 1219. [34] H. Shefrin, Irrational Exuberance and Option Smiles, Financ. Anal. J. 55, Iss. 6 (1999), 91-103. [35] J. Wang, A Model of Intertemporal Asset Prices under Asymmetric Information, Rev. Econ. Stud. 60 (1993), 249- 282. [36] F. Zapatero, Effects of Financial Innovations on Market volatility when Beliefs are Heterogeneous, J. Econ. Dynam. Control 22 (1998), 597-626. [37] A. Ziegler, State-Price Densities Under Heterogeneous Beliefs, the Smile Effect, and Implied Risk Aversion, Eur. Econ. Rev. 46 (2002), 1539-1557. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41329 | - |
dc.description.abstract | 在近代的財務模型中通常會假設所有的投資者皆了解資產的性質並分享相同的信念。然而在真實世界中,所有投資者的看法皆不同,而且在實證中也發現投資者的異質信念對於資產價格有相當顯著的影響。
在這一篇論文中,我們研究當投資者對於風險性資產具有異質信念與異質自信時對於選擇權的價格之影響。我們在第二章中推導具常態分配信念結構下的選擇權評價公式並且分析投資者的樂觀程度與看法差異程度對於選擇的價格影響。在第三章中,我們放寬了常態分配的假設,並重新推導一個更具一般性的選擇權價格公式。此公式可以引入各種不同形態的信念結構,例如,均勻分配和對數常態分配。經由不同的信念結構我們重新檢驗第二章所得結果是否具一般性。在第四章中,我們推導具有自信結構的選擇價格公式,並且以均勻分配和對數常態分配為特例去分析異質自信對選擇權價格的影響。 我們證明了當市場沒有異質信念和異質自信時,本論文所推導的價格公式將退化成Black-Scholes的選擇權公式。另外我們也發現信念結構與自信結構對於選擇權的價格及價格波動具有相當程度的影響,並且對隱含波動率的微笑曲線(volatility smile)具有相當明顯的解釋力。 | zh_TW |
dc.description.abstract | In the modern finance literature, standard asset pricing models generally assume that all investors know the structure of the economy or share the same beliefs about the properties of asset dividends. However, agents in the real world differ in their beliefs, and heterogeneous beliefs significantly influence asset pricing (Anderson et al. 2005).
In this paper, we study the properties of option prices when agents have heterogeneous beliefs and confidence levels regarding the underlying dividend process of a risky security. In Chapter 2, we derive a call option price formula when the belief structure is approximated by a normal distribution. In Chapter 3, we release the normal distribution assumption and allow this option price formula to be more general, which allows us to choose various distribution functions to model agents’ heterogeneous beliefs. Uniform and lognormal distributions are applied as two special cases to model agents’ heterogeneous belief structures. In Chapter 4, we characterize the option prices and their properties for general distributions of agents’ confidence structure. Again, the uniform and lognormal distributions are used as two special cases to model the structure of agents’ heterogeneous confidences. Our call option price formulas reduce to the Black-Scholes (1973) formula when the belief structure is degenerated into a homogeneous belief structure and the confidence structure is degenerated to a point 0. Otherwise, the call option price, its volatility, and the smile phenomenon of option prices are shown to be, in general, dependent upon the mean and variance of agents’ belief and confidence structures. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T00:15:55Z (GMT). No. of bitstreams: 1 ntu-98-D92723015-1.pdf: 943116 bytes, checksum: c50a8c79a28bcc5e7a739be9968a9953 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 口試委員會審定書 i
謝辭 ii 中文摘要 iii Abstract vi 1 Introduction 1 1.1 Motivation 1 1.2 Literature Review 2 2 Normally Distributed Belief Structure 5 2.1 Introduction 5 2.2 The Model 7 2.3 The Equilibrium State-Price Density 9 2.4 Stock Price, Bond Price, and Short Rate 12 2.5 Call Option Price Formula 14 2.6 Properties of the Call Option Price 16 2.6.1 The Influence of the Mean of a Belief Structure 17 2.6.2 The Influence of the Variance of a Belief Structure 17 2.6.3 The Influence of Agents’ Uncertainty 19 2.6.4 Comparison with the Black-Scholes Formula 23 2.6.5 Smile Effect 23 2.7 Analysis of Call Values’ Instantaneous Volatilities 24 2.8 Conclusion 32 Appendix 2A 33 Appendix 2B 34 Appendix 2C 35 Appendix 2D 37 Appendix 2E 40 Appendix 2F 43 Appendix 2G 44 3 General Belief Structure 47 3.1 Introduction 47 3.2 Equilibrium State-Price Density with General Belief Structure 48 3.3 Call Option Price 50 3.4 Smile Effect 58 3.5 The Volatility of Call Option Prices 60 3.6 Conclusion 64 Appendix 3A 65 Appendix 3B 67 4 Confidence Structure 69 4.1 Introduction 69 4.2 The Model 71 4.3 The Equilibrium State-Price Density 73 4.4 Share Price and Short Rate 76 4.5 Call Option Price 77 4.6 Smile Effect 89 4.7 Analysis of Call Values’ Instantaneous Volatilities 92 4.8 Conclusion 97 Appendix 4A 97 Appendix 4B 100 Appendix 4C 102 5 Summary and Conclusion 107 Bibliography 108 | |
dc.language.iso | en | |
dc.title | 異質信念與自信結構下選擇權的價格與性質分析 | zh_TW |
dc.title | Analysis of Option Prices and Their Properties under Heterogeneous Belief and Confidence Structures | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 許順吉(Shuenn-Jyi Sheu),黃啟瑞(Chii-Ruey Hwang),姜祖恕(Tzuu-Shuh Chiang),李怡宗(Yi-Tsung Lee) | |
dc.subject.keyword | 信念結構,自信結構,Black-Scholes選擇權公式,異質信念,隱含波動率, | zh_TW |
dc.subject.keyword | Belief structure,confidence structure,Black-Scholes formula,heterogeneous beliefs,smile effect,volatility, | en |
dc.relation.page | 112 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2009-06-10 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-98-1.pdf 目前未授權公開取用 | 921.01 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。