漲跌幅限制市場下的破產機率

Full metadata record

DC Field	Value	Language
dc.contributor.author	黃偉倫	en_US
dc.contributor.author	郭家豪	en_US
dc.date.accessioned	2015-11-26T01:07:58Z	-
dc.date.available	2015-11-26T01:07:58Z	-
dc.date.issued	2010	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT079739520	en_US
dc.identifier.uri	http://hdl.handle.net/11536/45654	-
dc.description.abstract	本篇論文提出一個在市場有漲跌幅限制下的破產機率算法。除了使用歷史股價報酬率來求得破產機率外，亦可使用跌停頻率的方法。因為在市場有漲跌幅限制之下，使用歷史股價報酬率會低估波動度，所以破產機率亦會被低估。然而使用跌停頻率的方法可以獲得較準確且一致的破產機率。	zh_TW
dc.language.iso	en_US	en_US
dc.subject	漲跌幅限制	zh_TW
dc.subject	破產機率	zh_TW
dc.subject	波動度	zh_TW
dc.subject	price limits	en_US
dc.subject	default probability	en_US
dc.subject	volatility	en_US
dc.title	漲跌幅限制市場下的破產機率	zh_TW
dc.title	A Note on the Default Probability with Price Limits	en_US
dc.type	Thesis	en_US
dc.contributor.department	財務金融研究所	zh_TW
Appears in Collections:	Thesis

Files in This Item:

If it is a zip file, please download the file and unzip it, then open index.html in a browser to view the full text content.