零水位架構下之選擇權定價

This thesis contains two parts. The first part is using the concept of zero-level pricing provided by Luenberger (1998) to price a stock call option, and under the quadratic form utility function, we get an universal zero-level price for the stock call option. Comparing to the call option formula provided by Black-Scholes (1973), we find that the stock call option's price derived from the zero-level framework not only has a similar formula form to Black-Scholes's, but also has a similar trend to the Black-Scholes formula in the numerical analysis. The second part of this thesis is to extend the model of Luenberger (2002) by adding the transaction costs to the non-marketed asset. We find that the zero-level price of this non-marketed asset still exists but it is not unique. We get a range of the zero-level prices for the non-marketed asset. As the price of the non-marketed asset is in this range, an investor will choose to hold at zero level.

並列關鍵字

option ； zero-level price ； stock ； transaction costs

參考文獻

5. Cox, J. and S. Ross and M. Rubinstein, 1979, "A

1. Aiyagari, R., and M. Gertler, 1991, "Asset Returns with Transaction Costs and Uninsured Individual Risk: A Stage 3

Prices and Financial Policy," Financial Analysts Journal,

3. Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political

4. Cox, J. and S. Ross, 1976, "A Survey of Some New Results in Financial Option Pricing Theory,"Journal of Finance 31, no.1, 383--402.

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零水位架構下之選擇權定價

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