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研究生:彭貴田
論文名稱:緩長記憶效應下的選擇權評價
指導教授:郭維裕郭維裕引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際經營管理碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:34
中文關鍵詞:緩長記憶碎形布朗運動Hurst 指數R/S分析碎形Black-Scholes選擇權評價
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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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