English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140887 (78%)
Visitors : 46298415      Online Users : 1346
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/4144


    Title: 美式外匯選擇權提前執行貼水評價與提前執行合理性之探討
    Other Titles: The Value and Investor Rationality on the Early Exercise of American Currency Options: An Empirical Investigation
    Authors: 杜化宇
    Keywords: 外匯選擇權;提前執行合理性;提前執行溢酬
    Currency Options;Early Exercise premium;Rationality of Early Exercise
    Date: 2002
    Issue Date: 2007-04-18 16:41:52 (UTC+8)
    Publisher: 臺北市：國立政治大學財務管理學系
    Abstract: 本研究的目的主要有兩個。首先，我們使用在費城股票交易所交易的外匯選擇權來探討美式選擇權提前執行的價值。綜合橫斷面與縱斷面分析的方法使用來檢定較早由Zivney (1991)與DeRoon and Veld (1996)所提出的假說是否適用於外匯選擇權。其次，我們探討這些美式外匯賣權實際的提前執行決定是否符合理論的最適提前執行法則。此最適決定我們從兩個角度來分析。首先，先計算出關鍵的提前執行執行價格(critical exercise price)再與實際執行價格相比較。其次，此外匯美式選擇權的執行價格再與市場價格(bid price)作比較。上述的分析可協助我們了解是否這些提前執行的決定合乎合理(rational)提前執行的行為。此外，若存在不合理的行為，我們亦探討何種因素主導這些不合理提前執行的行為。
    The purpose of this study is twofold. First, we evaluate the value of early exercise of an option from deviations of the European put-call parity, using foreign currency options in Philadelphia Stock Exchange. The pooled cross-sectional and time-series regressions is employed to test the hypotheses initiated by Zivney (1991) and DeRoon and Veld (1996). Second, we investigate how well the actual exercise behavior of American foreign currency put options corresponds to the early exercise rules. The optimal exercise strategy is established in two ways. First, the critical exercise price, above which a put option should be exercised early, is computed and compared to the actual exercise price. Second, the exercise value of the option is compared to its market bid price. The above analysis can help us to monitor whether the early exercise decisions conforms to rational exercise behavior. In addition, we also examine what factors drive the irrational behavior of early exercises.
    Description: 核定金額：329500元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    912416H004035.pdf93KbAdobe PDF21336View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback