2006-08-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/694179摘要：雖然根據風險中立評價理論，選擇權的價值與人的風險態度無關，但是本計畫試圖要證明，在計算指數選擇權的價值時，經濟體中的代表性消費者的風險態度與經濟體的景氣狀況會影響股票市場的波動度與無風險利率的走勢，進而影響指數選擇權的價值。為了證明這個的論點，本研究提出一個新的評價架構。此架構結合Campbell and Cochrane (1999) 與Wachter (2005) 的考慮了習慣塑造的消費基礎資產定價模型與Nelson and Ramaswamy (1990) 的可以處理隨時間變化的波動度與無風險利率的選擇權評價模型。就我們所知，這是首度嘗試去研究人的風險態度與景氣循環在指數選擇權評價這個領域中所扮演的角色。此外，本研究希望可以延伸此架構，將行為財務函數中的各種效用函數，如失望趨避效用函數或展望理論，代入Campbell and Cochrane (1999) 的定價模型中，進而檢驗這些行為財務效用函數如何影響指數選擇權的價值。<br> Abstract: The intention of this project is to show that for pricing index options, the risk attitude of the representative agent and the atmosphere of the economy ought to influence the change of the stock market volatility and the movement of the risk-free interest rate and further affect the index option value, although the option value is supposed to be irrelevant with people’s risk attitude according to the argument of the risk neutral valuation. In order to prove this idea, a novel pricing framework is designed to combine the consumption-based asset pricing model with habit formation in Campbell and Cochrane (1999) and Wachter (2005) and the option pricing model in Nelson and Ramaswamy (1990), which is capable of tackling the time-varying volatility and risk-free interest rate. To the best of our knowledge, this project is the first trial to study the roles of people’s risk attitude and the business cycle in the field of index option pricing. In addition, it is planned to extend this pricing framework to investigate how the findings in Behavioral Finance, such as the prospect theory or the disappointment averse utility, influence the index option value by combing these theories within the model in Campbell and Cochrane (1999).習慣塑造景氣循環股票市場波動度實質無風險利率股票指數選擇權Habit FormationBusiness CycleStock Market VolatilityReal Risk-free Interest RateStock Index Option