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| 题名: | 標的資產服從Ornstein Uhlenbeck Position Process之選擇權評價：漲跌幅限制下之應用 |
| 作者: | 鄭啟宏
Cheng, Chi-Hung |
| 贡献者: | 陳威光
江彌修
鄭啟宏
Cheng, Chi-Hung |
| 关键词: | 漲跌幅限制
股價相關性
不完全競爭市場
選擇權評價
Ornstein Uhlenbeck Position Process |
| 日期: | 2002 |
| 上传时间: | 2009-09-18 19:20:26 (UTC+8) |
| 摘要: | 本論文我們延伸Goldberg(1986)之結論,採用Ornstein Uhlenbeck positon process取代一般幾何布朗尼運動之假設來評價選擇權.Goldberg(1986)認為Ornstein Uhlenbeck positon process比幾何布朗尼運動更適合用來描述在不完全市場下之股價波動過程.我們在此波動過程的假設下,推倒出在風險中立的機率測度下歐式選擇權的評價模型及其避險參數,並將其結果與Black Scholes之模型作一比較,此評價模型亦可視為再不完全市場下的另一選擇權評價模型.此外,我們亦觀察在漲跌幅限制下股價波動之行為,發現股價具有三點特徵,而Ornstein Uhlenbeck positon process比幾何布朗尼運動更能貼切的表現出這些特徵,因此採用Ornstein Uhlenbeck positon process之選擇權評價模型較能合適地評價在漲跌幅限制下之選擇權價值.
In this thesis, we extend the approach of Goldenberg (1986) to consider Ornstein-Uhlenbeck position process as an alternative to Geometric Brownian Motion in modeling the underlying asset prices, and construct the option pricing model with this process. Goldenberg (1986) argued that Ornstein-Uhlenbeck position process is more consistent with the observed future prices in imperfect markets, and it could express the correlation of stock prices. Our model is an alternative option pricing model in imperfect market. We also investigate the behavior of stock prices in markets with the imposition of price limits. We find that the use of Ornstein-Uhlenbeck position process is more consistent with the characteristics of stock prices with price limit constraints than Geometric Brownian Motion. The use of Ornstein-Uhlenbeck position process could provide a more concise closed form of option pricing model when considering price limit constraints. |
| 參考文獻: | References:
Ban, Choi, and Ku, 2000, Valuation of European options in the market with daily price limits, Applied Mathematical Finance, 7, 61-74
Doob J.L, 1942, The Brownian movement and stochastic equations, The annals of Mathematics, second serious, volume 43, issue 2, 351-369
Goldenberg D.H, 1986, Sample Path Properties of Futures Prices, The Journal of Futures Markets Vol. 6 No.1 127-140
Ghiang R.& Wei ,1995, Price limits and estimation of expected return and risk, Technical Report, Working Paper, University of Miami.
Kim K.A & Rhee G., 1997, Price limit performance: evidence from the Tokyo Stock Exchange, The Journal of Finance, LⅡ, No.2, June, 885-901
Kim K.A. & Sweeney R.J, 2000, Effects of price limits on information revelation: theory and evidence
Lo, 2001, The pricing model of option when daily prices subject to price limits, master thesis. Master thesis.
Shen C.H.& Wang L.R., 1998, Daily serial correlation, trading volume and price limits: evidence from the Taiwan stock market, Pacific-Basin Finance Journal (6) 251-273
Shreve S., 1997, Stochastic Calculus and Finance |
| 描述: | 碩士
國立政治大學
金融研究所
90352020
91 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0090352020 |
| 数据类型: | thesis |
| 显示于类别: | [金融學系] 學位論文
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