臺灣博碩士論文加值系統

傳統效率市場假設股價的波動是隨機的，亦即股價是無法預測。 近來的文獻指出股價的波動是不完全是隨機的，且股價的波動具有緩長記憶(long memory)的特性。在本文中我們以R/S分析發現臺灣股市的Hurst指數為0.68，即具有趨勢持續性(trend persistent)之效果，根據此依特性，我們根據Necula(2002)的研究，來評價台股選擇權，發現此新評價模式產生之價格較接近市場價格。

第一章 序論………………………………………5

第一節 研究動機………………………………………………5
第二節 研究目的………………………………………………8
第三節 研究架構………………………………………………9

第二章 文獻探討…………………………………10

第一節 標準布朗運動與碎形布朗運動………………………10
第二節 非常態分佈與緩長記憶…...……………………….…11
第三節 選擇權評價簡介...………………………………….…13

第三章 研究方法…………………………………16

第一節 Hurst 指數與緩長記憶之關係………………………16
第二節 R/S分析………………………………………………18
第三節 修正之R/S分析……………………………………...19
第四節 DFA分析……………………………………………..20
第五節 緩長記憶之選擇權評價分析………………………...21

第四章 實證分析………………………………....23

第一節 TAII之Hurst 指數…………………………..………23
第二節 TAII之fBS選擇權評價與分析……………..………25

第五章 結論與後續建議………………………....29

第一節 結論……………………………………………………29
第二節 後續建議………………………………………………30

參考文獻……………………………………………………………..…31

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