| Summary: | 碩士 === 東吳大學 === 經濟學系 === 100 === The value of stock options is determined by the probability distribution of the stock's future price. Therefore, if we want to use the LSM model to estimate the optimal ratio of the investment option, use Geometric Brownian Motion model to estimate the underlying asset price information.
The first Empirical analysis, the stock rights of the hypothetical contract, we use the Geometric Brownian Motion model to estimate optimal investment ratio. The purpose of simulation analysis for the sensitivity analysis, to find the different parameter values how to effect the optimal ratio. Also the same inputs data used in the sensitivity analysis of stock investment. We found that the optimal stock investment ratio significantly greater than the right to buy the optimal investment proportion.
The second empirical analysis, two actual contract transaction data, the same geometric Brownian motion model, to estimate optimal investment ratio. Our empirical results show that, filter rule performance was significantly better than the the Kelly investment approach performance. In terms of Kelly investment approach use refers to the right to buy and TW index in Taiwan, the Taiwan stock market is a bull market, the table refers to the performance of the call option is better; Taiwan stock market volatility in the market, the TW index performance is better.
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