ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH

ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH

碩士 === 國立高雄師範大學 === 數學系 === 88 === Option is one of the derivatives, Black and Scholes published their Option Pricing Model in 1973, the Option Pricing Model is one of the most important models in financial field. The only one paramenter in the Black-Scholes pricing formula that cannot be...

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Main Authors: Wei-Chang Chen, 陳偉彰
Other Authors: Yeongtzay Su
Format: Others
Language:en_US
Published: 2000
Online Access:http://ndltd.ncl.edu.tw/handle/87819290490138762412
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spelling ndltd-TW-088NKNU04790062016-07-08T04:22:56Z http://ndltd.ncl.edu.tw/handle/87819290490138762412 ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH 以時間序列分析台灣上市股票價格的波動性 Wei-Chang Chen 陳偉彰 碩士 國立高雄師範大學 數學系 88 Option is one of the derivatives, Black and Scholes published their Option Pricing Model in 1973, the Option Pricing Model is one of the most important models in financial field. The only one paramenter in the Black-Scholes pricing formula that cannot be observed directly is the volatility of the stock price. In this thesis we use classical decomposition model of time series analysis and autoregressive model to estimate the volatility. Yeongtzay Su Robert W. Chen 蘇永在 陳文憲 2000 學位論文 ; thesis 74 en_US
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language en_US
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description 碩士 === 國立高雄師範大學 === 數學系 === 88 === Option is one of the derivatives, Black and Scholes published their Option Pricing Model in 1973, the Option Pricing Model is one of the most important models in financial field. The only one paramenter in the Black-Scholes pricing formula that cannot be observed directly is the volatility of the stock price. In this thesis we use classical decomposition model of time series analysis and autoregressive model to estimate the volatility.
author2 Yeongtzay Su
author_facet Yeongtzay Su
Wei-Chang Chen
陳偉彰
author Wei-Chang Chen
陳偉彰
spellingShingle Wei-Chang Chen
陳偉彰
ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH
author_sort Wei-Chang Chen
title ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH
title_short ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH
title_full ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH
title_fullStr ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH
title_full_unstemmed ANALYSIS ON VOLATILITY OF TAIWAN LISTED STOCKS -- TIME SERIES ANALYSIS APPROACH
title_sort analysis on volatility of taiwan listed stocks -- time series analysis approach
publishDate 2000
url http://ndltd.ncl.edu.tw/handle/87819290490138762412
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