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dc.contributor.advisor陈蓉
dc.contributor.author姚莲莲
dc.date.accessioned2016-02-23T01:21:32Z
dc.date.available2016-02-23T01:21:32Z
dc.date.issued2015-07-10 16:33:23.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/96462
dc.description.abstract自上个世纪七十年代推出以来,期权(特别是看跌期权)市场价格的公允性一直是学术界和业界讨论的焦点之一。但是,现有文献大多以美国期权市场作为研究对象,而对于其他市场的情况研究甚少。2015年2月,上海证券交易所推出了中国大陆的首个期权,大陆资本市场终于进入多元运行轨道。为了给新兴的我国大陆期权市场的发展提供借鉴意义,本文以运行多年、投资者行为特征十分类似的中国台湾期权市场为研究对象,对其股指期权定价偏误进行检验及其解释。 本文同时运用无模型方法和模型方法对台指看跌期权市场价格的定价偏误进行了实证研究。无模型方法主要利用牛市(熊市)看跌期权组合、蝶式看跌期权组合以及Put-Call平价公式等期权策...
dc.description.abstractThe fairness of market prices of options, especially put options, has been always the focal point to the Academia and Industry since options came to birth in 1970s. However, almost all of existing literature was focused on American option markets. We know little about other markets. In February of 2015, Shanghai Security Exchange launched the first option (50 ETF option) in China mainland. After t...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=46911&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=52002
dc.subject股指期权
dc.subject定价偏误
dc.subject投资者情绪
dc.subjectIndex Option
dc.subjectPricing Error
dc.subjectInvestor Sentiment
dc.title股指看跌期权的定价偏误:存在与解释
dc.title.alternativePricing Error of Index Put Options:Existence and Explanations
dc.typethesis
dc.date.replied2015-05-13
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院_金融工程
dc.description.note学号:15620121151923


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