頁籤選單縮合
題 名 | Black-Scholes Model與Constant Elasticity of Variance Model之比較=Black-Scholes Model Versus Constant Elasticity of Variance Model |
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作 者 | 潘璟靜; | 書刊名 | 國立屏東科技大學學報 |
卷 期 | 7:4 1998.12[民87.12] |
頁 次 | 頁335-340 |
分類號 | 562.1 |
關鍵詞 | 衍生性金融商品; Black-scholes model; Constant elasticity of variance model; Stock option; Foreign-exchange option; Warrant; |
語 文 | 中文(Chinese) |
中文摘要 | 本文旨在比較Black-Scholes model 與Constant Elasticity of Variance model 。雖然前者為後者之特例,但後者需估計之參數較多,故可能於實際應用時帶來更多之估計 偏誤,進而產生更大的定價錯誤。本文整理此二模型於股票選擇權、外幣選擇權及認購權證 之應用修正模型, 及常見之實證研究方法; 並根據既有實證文獻結果, 說明 Constant Elasticity of Variance model 確實優於 Black-Scholes model。 |
英文摘要 | This paper compares the differences between Black-Scholes model and Constant Elasticity of Variance model in stock option, foreign-exchange option, and warrant. Even though the former model is a special case of the latter model, the latter model needs more parameters to be estimated first. It maybe induces more biases and errors in option pricing. I summarize some empirical studies, and conclude Constant Elasticity of Variance model is better than Black-Scholes model. |
本系統中英文摘要資訊取自各篇刊載內容。