關鍵字查詢 | 類別:研究報告 | | 關鍵字:美式認購權證在含交易成本及股利之訂價

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序號 學年期 教師動態
1 87/1 財務系 鍾惠民 副教授 研究報告 發佈 美式認購權證在含交易成本及股利之訂價 , [87-1] :美式認購權證在含交易成本及股利之訂價研究報告美式認購權證在含交易成本及股利之訂價Pricing American Warrants with Transaction Costs and Dividends-A Taiwanese Case林蒼祥; 鍾惠民淡江大學財務金融學系美式認購權證;認股權證;交易成本;股利;定價;台灣;American warrant;Warrant;Transaction cost;Dividend;Pricing;Taiwan美式認購權證在含交易成本及股利之訂價計畫編號:NSC88-2416-H032-005;研究期間:199808~199907;研究經費:317,000行政院國家科學委員會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 rebalancin
2 87/1 財金系 林蒼祥 教授 研究報告 發佈 美式認購權證在含交易成本及股利之訂價 , [87-1] :美式認購權證在含交易成本及股利之訂價研究報告美式認購權證在含交易成本及股利之訂價Pricing American Warrants with Transaction Costs and Dividends-A Taiwanese Case林蒼祥; 鍾惠民淡江大學財務金融學系美式認購權證;認股權證;交易成本;股利;定價;台灣;American warrant;Warrant;Transaction cost;Dividend;Pricing;Taiwan美式認購權證在含交易成本及股利之訂價計畫編號:NSC88-2416-H032-005;研究期間:199808~199907;研究經費:317,000行政院國家科學委員會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 rebalancin
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