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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 彭柏堅(Palmer, K. J.) | |
| dc.contributor.author | Hsin-Ting Lin | en |
| dc.contributor.author | 林欣亭 | zh_TW |
| dc.date.accessioned | 2021-06-13T16:40:20Z | - |
| dc.date.available | 2009-07-26 | |
| dc.date.copyright | 2005-07-26 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-07-04 | |
| dc.identifier.citation | [1] Alexander V. Melnikov, Yury G. Petrachenko (2005):``On Option Pricing in Binomial Market with Transaction Costs' , Finance and Stochastics, 9, 141-149.
[2] Bensaid, B., Lesne, J.P., Pages, H., and Scheinkman, J. (1992): ``Derivative Asset Pricing with Transaction Costs.' , Mathematical Finance, 2, 63-86. [3] Black, F. and Scholes, M. (1973): ``The Pricing of Options and Corporate Liabilities.' , Journal of Political Economy, 81, 637-659. [4] Boyle, P. and Vorst, T. (1992): ``Option Replication in Discrete Time with Transaction Costs.' , Journal of Finance, 47,271-293. [5] Cox,J., Ross,S., and Rubinstein,M. ``Option Pricing: A Simplified Approach.', Journal of Financial Economics, 7(October 1979),229-64. [6] Davis, M.H.A., Panas, V.G., and Zariphopoulou, T. (1992): ``European Option Pricing with Transaction Costs.' , SIAM Journal of Control and Optimization, 31, 470-498. [7] Grannan, R.E. and Swindle, G.H. (1996): ``Minimizing Transaction Costs of Option Hedging Strategies.', Mathematical Finance,6, 341-364. [8] Hodges, S.D. and Neuberger A. (1989): ``Optimal replication of contingent claims under transaction costs.' , The Review of Futures Markets, 8, 222-239. [9] Leland, H.E. (1985): ``Option Pricing and Replication with Transaction Costs.', Journal of Finance, 40, 1283-1301. [10] Marek Musiela, Marek Rutkowski (1998): ``Martingale Methods in Financial Modelling.' Springer. [11] Merton, R.C. (1990): ``Continuous Time Finance.' Basil Blackwell,Oxford. [12] Palmer, K.J. (2001): ``A Note on the Boyle-Vorst Discrete-Time Option Pricing Model with Transactions Costs.' , Mathematical Finance, 11, 357-363. [13] Palmer, K.J. (2001a): ``Replicating and Super Replicating Portfolios in the Boyle-Vorst Discrete-Time Option Pricing Model with Transactions Costs,' working paper. [14] Perrakis, S. and Lefoll, J. (1997):`` Derivative Asset Pricing with Transaction Costs: An Extension.' , Computational Economics, 10, 359-376. [15] Perrakis, S. and Lefoll, J. (2000):``Option pricing and replication with transaction costs and dividends.', J. Economic Dynamics & Control, 24, 1527-1561. [16] Perrakis, S. and Lefoll, J. (2004):``The American put under transactions costs.', J. Economic Dynamics & Control, 28, 915-935. [17] Rendleman, R., Bartter, B. (1979): ``Two-State option pricing.', J. Finance, 34, 1093-1110. [18] Rutkowski, M. (1998): ``Optimality of Replication in the CRR Model with Transaction Costs.' , Applicationes Mathematicae, 25,29-53. [19] Sharpe, w. (1978): ``Investments.' Prentice-Hall, Englewood Cliffs. [20] Stettner, L. (1997): ``Option Pricing in the CRR Model with Proportional Transaction Costs: A Cone Transformation Approach.', Applicationes Mathematicae, 24, 475-514. [21] Toft, K.B. (1996): ``On the Mean-Variance Tradeoff in Option Replication with Transactions Costs.' , Journal of Financial and Quantitative Analysis, 31, 233-263. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38644 | - |
| dc.description.abstract | Working in the binomial framework, Boyle and Vorst (1992) derive unique self-financing strategies which perfectly replicate European call and put options for long positions with settlement by delivery, assuming proportional transaction costs on trades in the stocks. Here we consider a more general situation including short positions. First, we give conditions such that a unique replicating portfolio exists in a two-period model for a path independent contingent claim. Then we extend them to the multi-period case, yielding a result which extends the results of Boyle-Vorst to short positions. Furthermore, we conclude that some path independent options which are mixtures of long and short portions, such as spreads, have a unique replicating strategy for multi-period model under some conditions. We also show that long call (put) with cash settlement or with settlement up to the seller has a unique replicating portfolio for multi-period model. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T16:40:20Z (GMT). No. of bitstreams: 1 ntu-94-R92221006-1.pdf: 294459 bytes, checksum: 4b8c6c47d0b8ccebc88e3d3d636adbe4 (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | Contents -----------------------------------------------ii
Abstract ----------------------------------------------iii 1. Introduction -----------------------------------------1 2. Replication of Contingent Claims for the One-period Model with Transaction Costs --------------------------- 4 3. The Main Results -------------------------------------6 4. Short and Mixed Positions in Claims Settled by Delivery ----------------------------------------------19 5. Long Positions in Claims with Cash Settlement or Settlement up to the Seller ----------------------------30 Reference ----------------------------------------------35 | |
| dc.language.iso | en | |
| dc.subject | 路徑獨立 | zh_TW |
| dc.subject | 選擇權評價 | zh_TW |
| dc.subject | 交易成本 | zh_TW |
| dc.subject | 複製策略 | zh_TW |
| dc.subject | option replication | en |
| dc.subject | discrete-time binomial model | en |
| dc.subject | path independent contingent claim | en |
| dc.subject | option pricing | en |
| dc.subject | transaction costs | en |
| dc.title | 交易成本下路徑獨立選擇權之複製 | zh_TW |
| dc.title | Unique Replicating Portfolio in the Boyle-Vorst Discrete-Time Option Pricing Model
with Transaction Costs | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 姜祖恕(Tzuu-Shuh Chiang),許順吉(Shuenn-Jyi Sheu) | |
| dc.subject.keyword | 選擇權評價,交易成本,複製策略,路徑獨立, | zh_TW |
| dc.subject.keyword | option pricing,transaction costs,option replication,path independent contingent claim,discrete-time binomial model, | en |
| dc.relation.page | 36 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2005-07-04 | |
| dc.contributor.author-college | 理學院 | zh_TW |
| dc.contributor.author-dept | 數學研究所 | zh_TW |
| Appears in Collections: | 數學系 | |
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| File | Size | Format | |
|---|---|---|---|
| ntu-94-1.pdf Restricted Access | 287.56 kB | Adobe PDF |
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