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    Title: 股價機率分配之決定及其在認購權證定價之應用
    The decision of stock returns' distribution and its application on warrants pricing
    Authors: 李文銓
    Li, Wen-Chuan
    Contributors: 胡聯國
    李文銓
    Li, Wen-Chuan
    Keywords: 定價
    認購權證
    認股權證
    選擇權
    股價分配
    pricing
    Warrant
    Option
    Stock return distribution
    Date: 1998
    Issue Date: 2016-04-27 11:22:44 (UTC+8)
    Abstract: 本文嘗試放寬 Black-Scholes 模型中對股價分配所做的假設,並利用風險中立評價法的觀念,推導出另一具有封閉解的評價公式。不同於以往的是,本文並不採取以過去的股票價格來做為模型中參數估計的依據,而是直接使用認購權證的市場價格去估計模型參數,希冀從權證價格中淬取出投資人心中所認為的股價分配,並進一步做為預測以後權證價格的資訊。
    The study tries to release the stock price distribution in Black-Scholes model, and use the risk-neutral valuation technique to construct another pricing formula which also has closed form. Then we use the warrants' market price to estimate the parameters in order to recovering the information contained in warrant price about market participant's perceptions of the distribution of the underlying asset. We choose two warrants' data to gauge our model. One is cathay01, another is polaris 02. In the application to the warrant market, we find that the new formula has a better performance than the Black-Scholes model, and the price distributions of the two warrants' underlining assets are not log-normal distribution, they both have a flat right-tail. We also find that using the new formula in polaris02 can have a better improvement in interpretation or forecasting warrants' price than using in chthay01.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    85351013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001915
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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