The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === A procedure is It is known that volatilities of stock prices and stock options are too high, and companies within index options, such as electronic index option and financial index option, have different characteristics and correlations. To avoid these risks...

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Main Authors:	Li-Siang Chen, 陳立祥
Other Authors:	none
Format:	Others
Language:	zh-TW
Published:	2006
Online Access:	http://ndltd.ncl.edu.tw/handle/66651042125884089586

id	ndltd-TW-094YUNT5304010
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spelling	ndltd-TW-094YUNT53040102015-12-16T04:42:38Z http://ndltd.ncl.edu.tw/handle/66651042125884089586 The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry 產業熵值選擇權之評價、避險、套利之研究-以積體電路產業為例 Li-Siang Chen 陳立祥碩士國立雲林科技大學財務金融系碩士班 94 A procedure is It is known that volatilities of stock prices and stock options are too high, and companies within index options, such as electronic index option and financial index option, have different characteristics and correlations. To avoid these risks embedded in the stock option and index option, this research introduced an industrial option as a tool of hedge and arbitrage. This research used entropy to calculate the concentration and disturbance of industries. An industry option is developed, Black and Scholes model is used to calculate the closed form solution. It is shown that this industry option can be used on the purposes of hedge and arbitrage. none 黃嘉興 2006 學位論文 ; thesis 73 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === A procedure is It is known that volatilities of stock prices and stock options are too high, and companies within index options, such as electronic index option and financial index option, have different characteristics and correlations. To avoid these risks embedded in the stock option and index option, this research introduced an industrial option as a tool of hedge and arbitrage. This research used entropy to calculate the concentration and disturbance of industries. An industry option is developed, Black and Scholes model is used to calculate the closed form solution. It is shown that this industry option can be used on the purposes of hedge and arbitrage.
author2	none
author_facet	none Li-Siang Chen 陳立祥
author	Li-Siang Chen 陳立祥
spellingShingle	Li-Siang Chen 陳立祥 The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry
author_sort	Li-Siang Chen
title	The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry
title_short	The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry
title_full	The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry
title_fullStr	The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry
title_full_unstemmed	The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry
title_sort	option of industrial entropy on valuation、hedge、arbitrage of industry option-for example ic industry
publishDate	2006
url	http://ndltd.ncl.edu.tw/handle/66651042125884089586
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The option of industrial entropy on valuation、hedge、arbitrage of industry option-for example IC industry

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