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Edgeworth 級數在選擇權定價之應用及實證研究 / Option pricing using Edgeworth series with empirical study黃國倫, Huang,kuo lun Unknown Date (has links)
被廣泛應用在選擇權定價的Black-Scholes 模型[3] 時常在深價內與深價外
的選擇權價格有錯價的現象,也就是理論價格估計實際市場價格的偏差。藉由
Black-Scholes 評價公式所反推出的隱含波動度往往不像我們所期待的在不同履約價格具有一致性,這種現象被稱為波動度的微笑曲線。在這份論文裡,我們參考Jarrow and Rudd [13] 提出的方法,將Edgeworth展開式套用在Black-Scholes模型作延伸應用,進而推導出偏態峰態修正後的的評價公式,再利用台指選擇權的市場資料作實證分析並與Filho and Rosenfeld [1] 的研究作比較。我們發現從台指選擇權的實證結果得到非常態分配的隱含偏態和隱含峰態。此外,理論價格的估計偏誤比例顯著的被新的模型改善且隱含波動度的微笑曲線也變的較為平坦,這個方法提供我們一個有效的方法,利用標的資產的偏態峰態得到該資產的近似分配。 / The Black-Scholes [3] option pricing model widely applied in option contracts frequently misprices deep-in-the-money and deep-out-of-the-money options. The implied volatilities computed by the Black-Scholes formula are not identical on each strike price as we expect. This phenomenon is called the volatility smile or skew. In this thesis, we derived a skewness- and kurtosis-adjusted option pricing model using an Edgeworth expansion constructed by Jarrow and Rudd [13] to an investigation of TAIEX option prices and compare the results with those in Filho and Rosenfeld [1]. We found that non-normal skewness and kurtosis are implied by TAIEX option returns. Moreover, the magnitude of price deviations were signicantly corrected and the volatility skew is
attened. This approach provides an useful way to derive an approximate distribution of a underlying security with its skewness and kurtosis.
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S&P500指數期貨之錯價與交易量之非線性關係─以門檻自我迴歸分析 / The Nonlinear Relation Between S&P500 Index Futures Mispricing and Volume: The Threshold Analysis陳筱竹, Chen, Hsiao-Chu Unknown Date (has links)
本文著重在探討現股放空限制與交易成本對期貨錯價之影響。以門檻自我迴歸與續航門檻自我迴歸模型分析期貨錯價之非線性過程,我們發現錯價有回歸平均(mean reversion)的現象。當期貨錯價為正時(套利策略為買現貨賣期貨),交易量對錯價影響為負;但若期貨錯價為負(套利策略為賣現貨買期貨),考慮到昂貴的放空成本(costly short sell hypothesis),交易量對錯價的影響將是較不明確的。 / This article highlights the impact of short selling restrictions and trading costs on the relation on futures mispricing error. Within threshold autoregression model (TAR) and momentum threshold autoregressive model (M-TAR), the influence of optimal arbitrage trading on the mispricing is analyzed. Results concerning trading volume and level, mean reversion in mispricing error, and the model which describes mispricing process better. The empirical evidence suggests that trading costs and short selling costs are influential factors for the mispricing behavior. Moreover, the futures trading volume affects mispricing level significantly.
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網路交易法律問題之研究–由商品與服務提供者的角度觀察 / Legal Problems of Internet transactions-from the perspective of goods and service providers鄒順安, Tsou, Shun An Unknown Date (has links)
隨著網路、新聞、報章雜誌等等各種管道的報導與介紹,愈來愈多人期望能在網路開店或投入網路創業。這些在網路提供商品或服務的群體,有哪些該注意的交易糾紛與法律問題?本文將從網路交易中之商品與服務提供者的角度來觀察其法律責任與保障。
首先介紹常見的網路開店模式,例如自行架設購物網站、網路商城(或稱網路商店街)模式以及網路購物中心模式等,分別討論其中可能涉及之法律問題以及當事人之間的法律關係。關於網路交易之金流處理,則以付款機制、付款平台以及網路代幣之發展進行觀察,探討隨著網路金流愈趨便利而產生的風險。尤其是網路金流機制所衍生的信用卡冒用盜刷以及個人資料保護問題,更是不容忽視。至於網路交易中常見的糾紛,以網頁標錯價格、數位商品之猶豫期、信用卡冒用盜刷等案例,就其中的法律問題參照學說、實例之見解,進行討論與評析。最後在結論中整理出商品、服務提供者選擇網路開店應注意之法律相關事項,並對日後網路交易立法的方向提供一些個人之淺見。
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