跳到主要內容

簡易檢索 / 詳目顯示

回結果列表
研究生： 文德蘭
Wen, Te-Lan
論文名稱： 利用類神經網路在台灣認購權証評價模式錯價之探討
指導教授： 蔡瑞煌
陳松男
學位類別： 碩士
Master
系所名稱： 商學院 - 資訊管理學系
Department of Management Information System
論文出版年： 1999
畢業學年度： 87
語文別： 英文
論文頁數： 63
中文關鍵詞： 類神經網路 、認購權證
相關次數： 點閱：225  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 本研究為利用人工類神經網路探討台灣認購權証之評價模式，利用人工類神經網路學習台灣認購權証之市場價格與Black-Scholes Model 的理論價格間的差異(錯價)，而類神經網路在樣本內與外的表現均優於一般傳統的評價方式。此外，亦以敏感度分析來分析認購權証之市場價格與Black-Scholes Model 的理論價格間的差異可能的影響變數。

    本研究的樣本期間為包括民國八十六年九月至民國八十八年二月，樣本資料包含每日權証價格及交易量，每日權証標的股價格及每日大盤指數。檢視目前的權証之價錯，經實証後確實發現以類神經網路可以建立一個較為有效評價模式。

    CHAPTER 1 INTRODUCTION
    CHAPTER 2 LITERATURE REVIEW
    2.1 BLACK-SCHOLES PRICING MODEL
    2.2 THE WARRANT PRICING WITH BLACK-SCHOLES MODEL
    2.2.1 About riskless interest rate, dividend and expend
    2.2.2 About price-volume
    2.2.3 About Volatility
    2.3. BACK PROPAGATION NEURAL NETWORKS
    2.4. SENSITIVITY ANALYSIS
    2.5. GARCH(1,1)
    CHAPTER 3 METHODOLOGY
    3.1. EXPERIMENT DESIGNS
    3.2. PREDICTION MODELS
    3.2.1 The regression model
    3.2.2. The Neural Network model
    3.2.3 The GARCH(1,1) model
    3.3 THE ERROR MEASUREMENT
    CHAPTER 4 EMPIRICAL RESULTS
    4.1. THE PERFORMANCE ON EXP_1
    4.2 THE PERFORMANCE OF EXP_2
    4.3 THE PERFORMANCE OF EXP_3
    4.2 SENSITIVITY ANALYSIS
    CHAPTER 5 SUMMARY
    5.1. DISCUSSIONS FROM THE SIMULATIONS AND FORECASTS
    5.2. LIMITATION AND FUTURE WORK
    REFERENCE
    APPENDIX A
    APPENDIX B

    1. Aan, peter W. (1985), “How RSI Behaves”, The Magazine of Commodities & Option, v14n1, Jan p76
    2. Becker (1980), “The Constant Elasticity of Variance Model and Its Implications for Option Pricing”, Journal of Finance 35 661-673
    3. Black,F.,and M.Scholes (1973),"The Pricing of Warrants and Corporate Liabiltes", Journal of Political Economy,81,637-659
    4. Brock, W.A., D.A. Hsieh, and B. Lebaron. (1991),”Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence”, Cambridge, MA:MIT press
    5. Bollerslev, T. (1987), “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return”, 59, 542-547
    6. Bollerslev, T. (1986), “Generalized Autoregressive Conditional heteroskedastic-ity.” Journal of Eronometrics,31, 307-327
    7. Bollerslev, T.,R.Y. Chou and K.F. Kroner. “ARCH Modeling in Finance: A Re-view of the Theory and Empirical Evidence,” Journal of Econometrics,52 5-60
    8. Choi & Shastri (1989), “Bid-Ask and Volatility Estimates:The Implication for Option Pricing”, Journal of Banking and Finance 207-219
    9. Cornell,B., (1990) “Volume and R2. A first look”, Journal of Financial Research 14, 1-6
    10. Cox & Ross (1975),”The Valuation of Option for Alternative Stochastic Process”, Journal of financial Economics 3 145-166
    11. D.Michael Long,Dennis T. Officer (1997),”The Relation Between Option Missing and Volume in the Black-Scholes Option Model”, Journal of Financial Research Volxx,No1 1-12
    12. Engle, R.F. (1982) “Autoregressive Conditional Heteroscedasticity with Esti-mates of Variance of Unites Kingdom Inflation”. Econometrica 50,987 - 1007
    13. Ferru,M.G.,S.B.Moore, and D.C. Schirm (1988),”Investor Expectations about Callable Warrants”,Journal of Portfolio Management, vol14 84-87
    14. Hull,J., and A. White, (1987) “The Pricing of Options on Assets with Stochastic Volatilites.” Journal of Finance,2 281-300
    15. Jarvis, C.H. and Atuart, N. (1996), “The sensitivity of a neural network for classi-fying remotely sensed imagery”, Computers and Geosciences, v. 22, pp. 959-967
    16. Karpoff (1987), “The Relation Between Price Changes and Trading Volume A Survey”, Journal of Financial and Quantitative Analysis 109-126
    17. Kon, S.J., (1984),”Models of stock returns—A comparison”, Journal of Finance 39, 147-65
    18. Kremer Ronefeldt (1993), “Warrant Pricing:Jump Diffusion v.s. Black-Scholes”, Journal of Finance and Quantitative Analysis 255-272
    19. Lantane,H.and R.Renefeldt (1976),”Standard Deviation of Stock Price Ratios Implied in Option Price”, Journal of Finance 369-381
    20. Lauterbach & Schultz (1990),”Pricing Warrant:An Empirical study of the Black-Scholes Model and Its Alternative”, Journal of Finance 1181-1209
    21. MacBeth & Merville (1979),”An Empirical Investingation of Black-Scholes Call Option Model”, Journal of Finance 1173-1186
    22. Merton,R.C, (1976),”The Imact on Option Pricing of Specification Error in the Underlying Stock Price Returns”, Journal of Financial Economics vol33,331-350
    23. Michael, A.E. (1994), Neural Network Time Series Forecasting of Financial Market. Naimimohasses, R., Barnett, D.M., Green, D.A., and Smith, P.R. (1995), “Sensor optimization using neural network sensitivity measures,” Measurement Science & Technology, pp. 1291-1300
    24. Noreen, E. and M.Wolfson (1981),”Equilibrium Warrant Pricing Model and Ac-counting for Executive Stock Option”, Journal of accounting Research,vol19 384-398
    25. Press,J.S. (1981),”A Compound Events Model of Security Prices”, Journal of Business ,317-335
    26. Robin (1993),”On Improving the Performance of the Market Model”, Journal of Financial Research 367-376
    27. Roll,R. (1977),”An Analytic Formula for Unprotected American Call Options on Stocks with Known Dividends”, Journal of Financial Economics vol 5 251-258
    28. Rumelhart, D.E., Hinton, G.E., and Williams, R. (1986), “Learning internal repre-sentation by error propagation”, Parallel Distributed Processing, Cambridge, MA: MIT Press, Vol. 1, pp. 318-362
    29. Sarkar, D. (1995),”Methods to speed up error back-propagation learning algo-rithm”, ACM Computer Surveys, Vol. 27, No. 4, pp. 519-542.
    30. Tauchen & Pitts (1983),”The Price Variability-Volume Relationship on Specula-tive Market”, Econometrica 485-505
    31. Tauchen & Pitts (1983),”The Price Variability-Volume Relationship on Specula-tive Market”, Econometrica 485-505
    32. Tsaih, R. (1997),”Reasoning network networks”, In Ellacott, S., J. Mason and Anderson, I. (Eds.), Mathematics of Neural Networks: Models, Algorithms and Applications, Kluwer Academic Publishers, London, pp. 366-371
    33. Tsaih, R., W. Chen and Y. Lin (1998),”Application of reasoning neural networks to financial swaps”, Journal of Computational Intelligence in Finance, Vol. 6, No. 3, pp. 27-37
    34. Whaley (1981),”On the Valuation of American Call Option Stock with Known Dividends”, Journal of Financial Economics 9 207-211
    35. Yoon, Y., Guimaraes, T. and G. Swales, (1994),”Integration artificial neural net-works with rule-based expert system”, Decision Support Systems, 11, pp. 497-507
    36. Yoon, Y., Swales, G., and Margavio, T.M. (1993), “A comparison of discriminant analysis versus artificial neural networks,” Journal of Operational Research Soci-ety, 44, pp. 51-60.

    無法下載圖示 (限達賢圖書館四樓資訊教室A單機使用)
    QR CODE
    :::