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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/34013
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34013


    Title: 資產報酬自我相關下之選擇權評價理論
    The Valuation of European Options When Asset Returns Are Autocorrelated
    Authors: 陳昭君
    Chen, Chao-Chun
    Contributors: 廖四郎
    Liao, Szu-Lang
    陳昭君
    Chen, Chao-Chun
    Keywords: 選擇權評價
    報酬自我相關
    風險中立評價理論
    Option Pricing
    Autocorrelated Returns
    Martingale Asset Pricing
    Date: 2004
    Issue Date: 2009-09-17 19:05:50 (UTC+8)
    Abstract: 有鑑於資產報酬常具有自我相關的特性,本文探討當標的資產報酬服從一階移動平均過程之選擇權(MA(1)-type option)評價。研究結果顯示,除了總變異因子(total volatility input)不同外,MA(1)-type option 的評價公式與 Black and Scholes 模型極為相似。而根據數值分析的結果,即使資產報酬間自我相關的程度薄弱,由一階移動平均過程產生之自我相關仍會對選擇權價值造成顯著影韾。
    This paper derives the closed-form formula for a European option on an asset with returns following a continuous-time type of first-order moving average process, which is named as an MA(1)-type option. The pricing formula of these options is similar to that of Black and Scholes except for the total volitility input. Specifically, the total volatility input of MA(1)-type options is the conditional standard deviation of continuous-compounded returns over the option`s remaining life, whereas the total volatility input of Black and Scholes is indeed the diffusion coefficient of a geometric Brownian motion times the square root of an option`s time to maturity. Based on the result of numerical analyses, the impact of autocorrelation induced by the MA(1)-type process is significant to option values even when the autocorrelation between asset returns is weak.
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    Description: 博士
    國立政治大學
    金融研究所
    89352501
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0893525011
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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