請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/96140完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁 | zh_TW |
| dc.contributor.advisor | Larry Y. Tzeng | en |
| dc.contributor.author | 林友嵐 | zh_TW |
| dc.contributor.author | Yo-Lan Lin | en |
| dc.date.accessioned | 2024-11-15T16:08:11Z | - |
| dc.date.available | 2024-11-16 | - |
| dc.date.copyright | 2024-11-15 | - |
| dc.date.issued | 2024 | - |
| dc.date.submitted | 2024-10-27 | - |
| dc.identifier.citation | Bali, T. G., Brown, S. J., & Demirtas, K. O. (2013). Do hedge funds outperform stocks and bonds? Management Science, 59(8), 1887–1903.
Bali, T. G., Demirtas, K. O., Levy, H., & Wolf, A. (2009). Bonds versus stocks: Investors' age and risk taking. Journal of Monetary Economics, 56(6), 817–830. Bliss, R. R., & Panigirtzoglou, N. (2004). Option-implied risk aversion estimates. The Journal of Finance, 59(1), 407–446. Chen, T.-Y., Lin, Y.-L., & Tzeng, L. Y. (2024). Estimating probability weighting functions through option pricing bounds. The Review of Asset Pricing Studies, 14(3), 513–543. Constantinides, G. M., Jackwerth, J. C., & Perrakis, S. (2009). Mispricing of S&P 500 index options. The Review of Financial Studies, 22(3), 1247–1277. Huang, Y.-C., Kan, K., Tzeng, L. Y., & Wang, K. C. (2021). Estimating the critical parameter in almost stochastic dominance from insurance deductibles. Management Science, 67(8), 4742–4755. Leshno, M., & Levy, H. (2002). Preferred by "all" and preferred by "most" decision makers: Almost stochastic dominance. Management Science, 48(8), 1074–1085. Levy, H. (1985). Upper and lower bounds of put and call option value: Stochastic dominance approach. The Journal of Finance, 40(4), 1197–1217. Levy, H., & Kroll, Y. (1978). Ordering uncertain options with borrowing and lending. The Journal of Finance, 33(2), 553–574. Levy, H., Leshno, M., & Leibovitch, B. (2010). Economically relevant preferences for all observed epsilon. Annals of Operations Research, 176(1), 153–178. Merton, R. C. (1973). Theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1), 141–183. Müller, A., Scarsini, M., Tsetlin, I., & Winkler, R. L. (2017). Between first- and second-order stochastic dominance. Management Science, 63(9), 2933–2947. Polkovnichenko, V., & Zhao, F. (2013). Probability weighting functions implied in options prices. Journal of Financial Economics, 107(3), 580–609. 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. Tzeng, L. Y., Huang, R. J., & Shih, P.-T. (2013). Revisiting almost second-degree stochastic dominance. Management Science, 59(5), 1250–1254. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/96140 | - |
| dc.description.abstract | 本文提出一個可利用選擇權價格估計一階幾乎隨機優越偏好參數的方法，此偏好參數可被一對一轉換為邊際效用比值之上下界、或絕對風險趨避函數和之上下界。利用1996年1月至2023年8月之S&P 500指數選擇權價格資料，本文得到之偏好參數估計值與文獻中從其他資料來源得到之估計值相似。本文亦測試選擇權天期(maturity)與價性(moneyness)對此偏好參數估計值的影響，在實證結果中，對於投資在接近價平或較長天期選擇權之投資人群體，實證結果傾向支持其風險偏好較不極端。 | zh_TW |
| dc.description.abstract | A method implying the maximum allowed almost first-degree stochastic dominance (AFSD) preference parameter with option prices is proposed, where the AFSD preference parameter can be one-to-one transformed as the marginal utility ratio bounds or the bounds of the sum of the absolute risk aversion function. The preference parameter is estimated with S&P 500 index option data from January 1996 to August 2023, and the estimates are similar to those from other data sources. Maturity and moneyness effects on the preference parameter are further examined, and evidence supports that investors investing in near at-the-money or long maturity options tend to have less extreme risk preferences. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2024-11-15T16:08:11Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2024-11-15T16:08:11Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 口試委員會審定書i
Acknowledgements ii 摘要iii Abstract iv Contents v List of Figures vii List of Tables viii Chapter 1 Introduction 1 Chapter 2 Theory 6 2.1 Interpretations of the preference parameter ε in the AFSD rule . . . . 6 2.1.1 Marginal utility ratio bounds . . . . . . . . . . . . . . . . . . . . . 7 2.1.2 Bounds of the sum of the ARA function . . . . . . . . . . . . . . . 7 2.1.3 Maximum violation ratio that can be tolerated by investors . . . . . 8 2.2 AFSDR rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 2.2.1 Extending FSDR to AFSDR . . . . . . . . . . . . . . . . . . . . . 9 2.2.2 AFSDR examinations for discrete distributions . . . . . . . . . . . 10 2.3 Option pricing bounds based on AFSDR . . . . . . . . . . . . . . . 12 Chapter 3 Numerical Analysis 15 3.1 AFSDR bounds and ε . . . . . . . . . . . . . . . . . . . . . . . . . 15 3.2 Implying ε from AFSDR bounds and option prices . . . . . . . . . . 18 Chapter 4 Empirical Estimation 21 4.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 4.2 S_T distribution estimation approaches . . . . . . . . . . . . . . . . . 22 4.2.1 CJP approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 4.2.2 EGARCH approach . . . . . . . . . . . . . . . . . . . . . . . . . . 23 4.3 Estimating ε . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 Chapter 5 Empirical Results 26 5.1 Option-implied ε estimates . . . . . . . . . . . . . . . . . . . . . . . 26 5.2 Bounds of the marginal utility ratio and the sum of the ARA function 27 5.3 Maturity effect . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 5.4 Moneyness effect . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 Chapter 6 Conclusion 32 Bibliography 33 Appendix A Graphical Explanations of Bounds on a Finite Support 35 A.1 No-arbitrage upper bound on a finite support . . . . . . . . . . . . . 35 A.2 FSDR upper bound on a finite support . . . . . . . . . . . . . . . . . 37 A.3 No-arbitrage and FSDR lower bounds . . . . . . . . . . . . . . . . . 38 Appendix B Empirical Procedures 39 B.1 Data cleaning . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 B.2 Index return computation for the CJP approach . . . . . . . . . . . . 41 | - |
| dc.language.iso | en | - |
| dc.title | 幾乎隨機優越方法下的選擇權價格隱含邊際效用比值上下界 | zh_TW |
| dc.title | Option-Implied Marginal Utility Ratio Bounds under an Almost Stochastic Dominance Approach | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 113-1 | - |
| dc.description.degree | 博士 | - |
| dc.contributor.oralexamcommittee | 王之彥;石百達;黃瑞卿;陳宜廷 | zh_TW |
| dc.contributor.oralexamcommittee | Jr-Yan Wang;Pai-Ta Shih;Rachel J. Huang;Yi-Ting Chen | en |
| dc.subject.keyword | 選擇權,一階幾乎隨機優越,邊際效用比值,絕對風險趨避函數和,選擇權價格上下界,線性規劃, | zh_TW |
| dc.subject.keyword | option,almost first-degree stochastic dominance,marginal utility ratio,sum of absolute risk aversion,option pricing bounds,linear programming, | en |
| dc.relation.page | 43 | - |
| dc.identifier.doi | 10.6342/NTU202404507 | - |
| dc.rights.note | 未授權 | - |
| dc.date.accepted | 2024-10-28 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| 顯示於系所單位： | 財務金融學系 | |
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