English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 57517/91034 (63%)
造訪人次 : 13441916      線上人數 : 216
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/4888


    題名: 美式認購權證在含交易成本及股利之訂價
    其他題名: Pricing American Warrants with Transaction Costs and Dividends-A Taiwanese Case
    作者: 林蒼祥;鍾惠民
    貢獻者: 淡江大學財務金融學系
    關鍵詞: 美式認購權證;認股權證;交易成本;股利;定價;台灣;American warrant;Warrant;Transaction cost;Dividend;Pricing;Taiwan
    日期: 1999
    上傳時間: 2009-03-16 11:19:18 (UTC+8)
    摘要: 台灣證券交易所的認購權證因履約價格隨股利調整,可證明其最佳履約時間為到期日,所以我們以四個歐式買權的模式來訂價,並比較其優劣。這些模式將交易成本及間斷調整複製部位的特性合入未修正波動性中處理使成為修正後波動性。除了用隱含波動性作為未修正之波動性,因台灣股價有漲跌幅的限制,我們亦採用Chiang and Wei(1995)的論點,用GMM法來估計未修正之波動性,並比較兩種未修正波動性在四個買權模型中之定價優劣。
    The covered call warrants traded in Taiwan Stock Exchange are protection-style call options. Their strike prices are reduced by the paid dividends at ex-dividend dates, and it can be proven to be optimally exercised at maturity. We, therefore, price those warrants with four different kinds of European call-option valuation models, and we compare their valuation performance as well. The proportional transaction costs and the characteristics of discreted rebalancing duplication portfolio are incorporated with un-adjusted volatilities as the adjusted volatilities. In addition to using implied volatility as un-adjusted volatility, we also bring GMM-estimated volatility into those models since there are daily price limits of stock prices change into the two mentioned unadjusted volatilities are taker into the four warrant valuation models, and we also compare the performance of the models.
    關聯: 美式認購權證在含交易成本及股利之訂價
    顯示於類別:[財務金融學系暨研究所] 研究報告
    [財務系] 研究報告

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML41檢視/開啟
    RRPF88020342.pdf218KbAdobe PDF585檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋