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    政大機構典藏 > 理學院 > 應用數學系 > 學位論文 >  Item 140.119/32591
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/32591


    Title: 應用賽局理論評價選擇權
    Authors: 陳韻竹
    Contributors: 劉明郎
    陳韻竹
    Keywords: 評價選擇權
    風險中立機率測度
    等價平賭測度
    賽局理論
    線性規劃
    Date: 2006
    Issue Date: 2009-09-17 13:48:34 (UTC+8)
    Abstract: 本論文利用市場觀測的選擇權買價與賣價,將市場的交易行為描述為兩人零合賽局,其中參賽者為投資人與市場機制,分別建立雙方的最佳策略模型。假設標的資產到期日的價格為離散點且個數有限,當市場不存在套利機會,也就是投資人最佳策略時報償為零時,可利用賽局線性規劃模型導出隱含於市場價格的風險中立機率測度。此模型不須對標的資產價格的機率分配做任何假設,也不須計算波動度,就可利用資產價格的平賭性質,以還原的風險中立機率測度為選擇權作合理的定價。最後,以台指選擇權(TXO)為例,驗證本模型的評價能力,且再次證實資產價格的風險中立機率分佈與一般常假設的對數常態分佈有落差。
    Reference: Black, F. and M. Scholes, 1973, The pricing of options and corporate liabilities. Journal of political Economy 81(3), 637-659.
    Boyle, P. P. and T. Vorse, 1992, Option replication in discrete time with transaction cost. Journal of Finance 47(1), 271-294.
    Cox, J. C., S. Ross, M. Rubinstein 1979, Option pricing: A simplified approach. Journal of Financial Economic 3,145-166.
    Harrison, M. and D. Kreps, 1979, Martingale and arbitrage in multiperiod security markets. Journal of Economic Theory 20, 381-408.
    Jackwerth, J. C., 2000, Recovering risk aversion from option prices and realized returns. The Review of Financial Studenies 13(2), 433-451.
    King, A. 2002, Duality and martingale: A Stochastic programming perspective on contingent claims. Mathematical Programming Ser. B 91, 543-562.
    Kline, J., 2000, For the Student: Basic game theory. The Australian Economic Review 33(4), 381-387.
    Leland, H., 1985. Option pricing and replication with transaction costs. Journal of finance 40(5), 1283-1301.
    Melinkov A. A. and Y. G. Petrachenko, 2005, On option pricing in binomial market with transaction costs. Finance and Stochastics 9, 141-149.
    Prasad C. and J. Somesh, 2001, Randomized stopping times and American option pricing with transaction costs. Mathematical Finance 11(1), 33-77.
    Rubinstein, M., 1994, Implied Binomial Trees. Journal of Finance 49(3), 771-818.
    Rubinstein, M. and J. Jackwerth, 1996, Recovering probability distributions from option prices. The Journal of Finance 51(5), 1611-1631.
    Steven R., 2000, “Option exercise games: the intersection of real options and game theory. Journal of Applied Corporate Finance 13(2), 99-107.
    Ales C., 2004, Mathematical Techniques in Finance. Tools for Incomplete Markets. Princeton University Press, New Jersey.
    Neftci, S.N., 2004, An Introduction to the Mathematics of Financial Derivatives. Academic press, New York.
    張瓊芳,2005,由市場的選擇權價格還原風險中立機率分布,國立政治大學應用數學系碩士論文,台北。
    劉桂芳,2005,由選擇權市場價格建構具一致性之評價模型,國立政治大學應用數學系碩士論文,台北。
    Description: 碩士
    國立政治大學
    應用數學研究所
    94751014
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094751014
    Data Type: thesis
    Appears in Collections:[應用數學系] 學位論文

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