本論文提出利用機率平賭性質由選擇權市場價格還原風險中立機率測度的雙目標規劃模型。假設對應同一標的資產且不同履約價的選擇權均為歐式選擇權，到期時標的資產的狀態為離散點且個數有限。若市場不存在套利機會時，建構出最小化離差總和及最大化平滑的雙目標規劃模型。將此雙目標規劃模型利用權重法轉換成單一目標之非線性模型，即可還原風險中立機率測度，並利用此風險中立機率測度評價選擇權的公平價格。最後，我們以台指選擇權(TXO)為例，驗證此模型的評價能力。 / This thesis proposes a biobjective nonlinear programming model to derive risk-neutral probability distribution of underlying asset. The method are used to choose probabilities that minimize the deviation between the observed price and the theoretical price as well as maximize the smoothness of the resulting probabilities. A weighting method is used to covert the model into a single objective model. Given a non-arbitrage observed option price, a risk-neutral probability distribution consistent with the observed option can be recovered by the model. This risk-neutral probability is then utilized to evaluate the fair price of options. Finally, an empirical study applying to Taiwan’s market is given to verify the pricing ability of this model.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0092751012 |
| Creators | 廖彥茹 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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