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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/32604


    Title: 由市場的選擇權價格還原風險中立機率分布
    Authors: 張瓊方
    Chang, Chiung-Fang
    Contributors: 劉明郎
    張瓊方
    Chang, Chiung-Fang
    Keywords: 選擇權交易策略
    線性規劃
    套利機會
    風險中立機率測度
    選擇權評價公式
    option trading strategy
    linear programming
    arbitrage opportunity
    risk-neutral probability
    option pricing formula
    Date: 2005
    Issue Date: 2009-09-17 13:49:59 (UTC+8)
    Abstract: 本論文提出線性規劃的方法以還原隱藏於選擇權市場價格中的風險中立機率測度，並利用該機率測度計算選擇權的合理價格。模型中假設選擇權對應同一標的資產與到期日，資產價格於到期日的狀態為離散點且個數有限，當市場不具任何套利機會時，以極小化市場價格與合理價格之離差總和作為挑選風險中立機率測度的準則。最後，以臺指選擇權(TXO)的交易資料做為實證對象。實證中發現，加入平滑限制式與離差權重之線性規劃模型在評價歐式選擇權合理價格的效能最為優異。
    The thesis proposes a liner programming to recover the risk-neutral probability distribution of an underlying asset price from its associated market option prices, and we evaluate the fair prices of options via the resulting risk-neutral probability distribution. Assume that we face a series of European options with different exercise prices on the same maturity and underlying asset in this linear programming model. The criterion of choosing a risk-neutral probability distribution is minimizing the sum of total deviations subject to requiring that the fair prices of options are consistent with observed market option prices. Finally, we take the trading data of TXO as an empirical study. The empirical study indicates that the model with smooth constraints and weighted deviations has the best performance in pricing the rational price of European options.
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    Ito, K. (1951), "On Stochastic Differencial Equation Memories." American Mathematical Society 4, 1-51.
    Merton, R. C. (1973), "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4, Spring, 141-183.
    Merton, R. C., M. S. Scholes, and M. L. Gladstein (1978), "The Returns and Risk of Alternative Call Option Portfolio Strategies." Journal of Business 51, 183-241.
    Papahristodoulou, C. (2004), "Option Strategies with Linear Programming." European Journal of Operational Research 157, 246-256.
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    Rendleman, R. J. (1995), "An LP Approach to Option Portfolio Selection." Advances in Futures and Options Research 8, 31-52.
    Rubinstein, M. and J. Jackwerth (1996), "Recovering Probability Distributions from Option Prices." The Journal of Finance 51(5),1611-1631.
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    謝劍平 (2000)，現代投資學，智勝文化。
    陳松男 (2003)，基礎選擇權與期貨，新陸書局。
    楊靜宜 (2004)，選擇權交易策略的整數線性規劃模型，政治大學應用數學系碩士論文。
    劉桂芳 (2005)，由選擇權市場價格建構具一致性之評價模型－使用線性規劃，政治大學應用數學系碩士論文。
    Description: 碩士
    國立政治大學
    應用數學研究所
    91751005
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0917510051
    Data Type: thesis
    Appears in Collections:[Department of Mathematical Sciences] Theses

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