2008-08-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/684950摘要：繼Black-Scholes的選擇權評價模型之後，許多研究已經做了比較符合實際的假設，並且推導出其相對應的選擇權評價模型，雖然這些模型已被證實比較能夠描述選擇權市場價格及他們的波動率與機率密度函數，但是幾乎所有的模型都很複雜且不易執行，因為這些模型的運用都需要高度的數值計算。因此，如果能推導出一個不僅有具有彈性的波動率與機率密度函數而且好用的簡單模型的話，這將是財務文獻上的一大步，本研究希望能藉此貢獻於現有的文獻。 在第一年的子計畫中，我們將在一般均衡架構下，藉由一些特定的假設推導出一個新的簡單的平方根選擇權評價模型。除了選擇權價格公式以外，我們也將推導出風險中立與實際機率密度函數。更進一步，我們將使用S&P 500及 FTSE 100指數選擇權的市場價格探討我們的模型的基本特性。所有的實證結果都將跟Black-Scholes模型結果做比較。 <br> Abstract: Following the Black-Scholes option pricing model, many studies have made more realistic assumptions and derived their corresponding option pricing models. Although these models have proved to be more capable of describing the market prices of options and their volatility and density functions, almost all of them are very complicated and not easy to implement as an extensive numerical computation is generally required. Therefore, if it is possible to derive a new simple option pricing model that not only has flexible volatility and density functions, but also is good enough for general use, it will be a big step in the finance literature. In this project, we will try to contribute to literature by filling this gap. In the first sub-project, we will derive a new simple square root option pricing model under the general equilibrium framework with some particular assumptions. In addition to the option pricing formula, we will also derive the risk-neutral and real-world densities implied in our model. Furthermore, we will use the market prices of options written on the S&P 500 and FTSE 100 indices to discuss the basic properties of our model. All of the empirical results will be compared with those of the Black-Scholes model.選擇權評價波動率預測機率分配預測Option pricingVolatility ForecastingDensity Prediction