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研究生:蕭義棋
研究生(外文):Yi-Chi Hsiao
論文名稱:零水位架構下之選擇權定價
論文名稱(外文):Option Pricing in the Zero-Level Framework
指導教授:古思明古思明引用關係
指導教授(外文):Sy-Ming Guu
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:45
中文關鍵詞:選擇權零水位價格交易成本股票全域
外文關鍵詞:optionzero-level pricestocktransaction costs
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This thesis contains two parts. The first part is using the concept of zero-level
pricing provided by Luenberger (1998) to price a stock call option, and under the quadratic form
utility function, we get an universal zero-level price for the stock call option. Comparing to the
call option formula provided by Black-Scholes (1973), we find that the stock call option''s price
derived from the zero-level framework not only has a
similar formula form to Black-Scholes''s,
but also has a similar trend to the Black-Scholes formula in the numerical analysis. The second part
of this thesis is to extend the model of Luenberger (2002) by adding the transaction costs to the
non-marketed asset. We find that the zero-level price of this non-marketed asset still exists but
it is not unique. We get a range of the zero-level prices for the non-marketed asset. As the
price of the non-marketed asset is in this range, an investor will choose to hold at zero
level.
1.Introduction............................................1
2. Apply the concept of zero-level pricing in option pricing...................................................3
2.1 The model............................................4
2.2 The Black-Scholes model..............................7
2.3 Call option''s universal price........................9
2.4 The factors affecting the call option''s price......14
2.5 Option price sensitivities: the Greek letters......17
2.6 Some remarks.......................................20
3. The zero-level price with the transaction costs: an extension...............................................21
3.1 The model..........................................21
3.2 Zero-level pricing with the transaction costs......23
3.3 Numerical example..................................30
4. Conclusions..........................................33
5. Thoughs for future study.............................34
Appendix 1..............................................35
Appendix 2..............................................37
Appendix 3..............................................40
References..............................................41
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Prices and Financial Policy," Financial Analysts Journal,
November--December, 56--66
3. Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political
Economy 81, May, 637--654.
4. Cox, J. and S. Ross, 1976, "A Survey of Some New Results in Financial Option Pricing Theory,"Journal of Finance 31, no.1, 383--402.
5. Cox, J. and S. Ross and M. Rubinstein, 1979, "A
Simplified Approach," Journal of Financial Economics 7,
229--263.
6. Danthine, J.P., and J. B. Donaldson, 2002,
"Intermediate Financial Theory," Mass.: Prentice Hall.
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Currency Options," Review of Financial Studies 6, 327--343.
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Dissertation, Department of Engineering-Economic Systems, Stanford University.
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" Advances in Futures and Options Research 7, 21--35.
10. Hull, J.C. and A. White, 1987, "The Pricing of Options on Assets with Stochastic Volatilities,"Journal of Finance 42, 281--300.
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12. Leland, H.E., 1985, "Option Pricing and Replication with Transaction Costs," Journal of Finance 40, 1283--1301.
13. Luenberger, D.G., 1969, "Optimization by Vector Space Methods," Wiley,NY.
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Pricing,"Bell Journal of Economic and Management Science, Spring.
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Decision Analysis and Benefit Valuation Frameworks," Unpublished doctoral dissertation, MIT.
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20. Raiffa, H., 1968, "Decision Analysis: Introductory Lectures on Choices under Uncertainty," Random House, NY.
21. Rendleman, R.J. and B.J. Bartter, 1979, "Two-State Option Pricing," Journal of Finance 34,117--134.
22. Ross, S., 1976, "Risk, Return, and Arbitrage,", In Friend I., and J. Bicksler, eds., Risk and Return in Finance, Combridge: Ballinger.
23. Ross, S., 1978, "A Simple Approach to the Valuation of Risky Streams," Journal of Business 51,no. 3, 453--475.
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1(2), 55--72
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