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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34032
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34032


    Title: 以變異數比率法檢定指數選擇權之買賣權平價理論——馬可夫狀態轉換模型之應用
    Authors: 秦秀琪
    Contributors: 杜化宇
    none
    秦秀琪
    Keywords: 馬可夫狀態轉換模型
    買賣權平價理論
    變異數比率檢定法
    股利不勸定性
    Markov Regime Switching Model
    Put-Call Parity
    Variance Ratio Test
    Dividend Uncertainty
    Date: 2002
    Issue Date: 2009-09-17 19:10:05 (UTC+8)
    Abstract: 本研究目的在於探討Put-Call Parity(PCP)所隱含的買權、賣權與標的資產間的價格變動關係。藉由探討PCP偏差程度的動態行為,推論若PCP的偏差為隨機漫步過程,則無法達到長期穩定,隱含PCP的廣義關係無法成立;反之,若PCP的偏差具有回歸平均特性,表示長期會達到穩定狀態,則PCP的廣義關係成立。
    在研究方法上本文以變異數比率法檢定指數選擇權的PCP偏差是否為隨機漫步過程,採用隱含利率和實際無風險利率的差代表PCP的偏差程度,利用馬可夫轉換模型描繪PCP偏差的動態行為,並使用Gibbs Sampling演算法說明參數的不確定性。
    本文以S&P500和DAX為研究標的,並探討股利不確定性是否影響PCP廣義關係,得到下列結論:
    1、 對於S&P 500指數選擇權而言,不論是以日資料或週資料估計VR,S&P 500的PCP偏差都無法提供回歸平均的證據,隱含S&P 500的PCP廣義關係無法成立。
    2、 對於DAX指數選擇權而言,檢定日資料的結果發現,DAX之PCP偏差在長期時(40~50日)有明顯的回歸平均的證據;而在檢定週資料時,使用原始資料法在90%信心水準下,不論取任何lag都可拒絕虛無假設,使用標準化資料則無法提供明顯的回歸平均證據。
    3、 比較S&P 500和DAX,檢定日資料與週資料的結果都發現,DAX的p-value都比S&P 500小,並且S&P 500的PCP偏差都無法提供回歸平均的證據,而DAX有明顯回歸平均現象,隱含在消除股利的不確定性後,指數選擇權PCP的廣義關係式成立之證據較強烈。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    90357005
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090357005
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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