NDLTD Global ETD Search
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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"burst 指數"" "subject:"hurst 指數""

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緩長記憶效應下的選擇權評價

彭貴田 Unknown Date (has links)
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。
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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