跳到主要內容

臺灣博碩士論文加值系統

(216.73.216.176) 您好!臺灣時間:2025/09/06 09:00
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:林家田
研究生(外文):Jia-tien Lin
論文名稱:馬可夫轉換向量自我迴歸之選擇權訂價模型
論文名稱(外文):Option Pricing with Markov Switching VAR Process
指導教授:王昭文王昭文引用關係
指導教授(外文):Chou-Wen Wang
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:風險管理與保險所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:37
中文關鍵詞:傅立葉轉換馬可夫轉換向量自我回歸特徵值函數
外文關鍵詞:characteristic functionFourier TransformMS-VAR
相關次數:
  • 被引用被引用:0
  • 點閱點閱:234
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文主要探討資產價格服從兩狀態轉換的向量自我迴歸過程(MS-VAR)之選擇權訂價模型。我們利用Wang(2009)的VARMA(p,q)模型,且令q=0,並得到Duan(1995)在風險中立測度下,其選擇權之價格。但變動的資產價格系統,存在著非線性調整,故加入兩狀態馬可夫轉換,使模型更符合現實情況。
Carr and Madan(1998)指出只要知道價格過程所服從分配之特徵值函數,即可獲得其選擇權價格。我們由機率函數,推導出MS(2)-VAR(1)的特徵值函數,從而獲得其選擇權價格。
The purpose of this study is to investigate options which derivation from multivariate asset prices with Markov switching VAR(p). We employ the VARMA(p,q) model of Wang(2009) to obtain the option prices under risk neutral probability measure Q, Duan(1995), as q=0. However, the system changes in asset prices, there is a nonlinear adjustment, therefore joining the Markov-switching such that the model more in line with reality conditions.
Carr and Madan(1998) point to give the characteristic function for concerning distribution, then we are able to get the option price. We use the probability function and derive the characteristic function of MS(2)-VAR(1) model. Therefore, the option considering nonlinearity is obtained.
Contents
Abstract --------------------------------------------------------------------------------------------i
Acknowledgements ----------------------------------------------------------------------------- iii
Contents ------------------------------------------------------------------------------------------ iv
Chapter 1 Introduction-------------------------------------------------------------------------1
Chapter 2 Literature reviews -----------------------------------------------------------------4
2.1. Reviews for ARMA ------------------------------------------------------------------4
2.2. Reviews for Markov Switching----------------------------------------------------6
Chapter 3 The reviews of VARMA Process propose by Wang(2009) ----------------8
3.1. Martingale Property of a VARMA Process ------------------------------------9
3.2. The VARMA Option Pricing Model---------------------------------------------12
Chapter 4 Markov switching model -------------------------------------------------------- 14
4.1. The Markov process ---------------------------------------------------------------- 15
4.2. An irreducible ergodic N state Markov process ------------------------------ 16
4.3. EM Algorithm------------------------------------------------------------------------ 16
4.4. The Regime Lognormal model: Hardy(2005) --------------------------------- 18
4.5. Option pricing------------------------------------------------------------------------ 19
Chapter 5 Markov-Switching VAR Model------------------------------------------------ 21
5.1. Option Pricing with Fourier Transform --------------------------------------- 24
5.2. Sensitivity parameters-------------------------------------------------------------- 25
Chapter 6 Conclusions------------------------------------------------------------------------- 27
References ---------------------------------------------------------------------------------------- 28
References
1. Altavilla, C. and P. De Grauwe(2005):“ Non-Linearities in the Relation between the
Exchange Rate and its Fundamentals,” CES-ifo Working Paper No.1561.
2. Alok Kumar(2006) “A Markov-Switching Vector Error Correction Model of the
Indian Stock Price and Trading Volume,” SSRN.
3. Alessandro Lanza, Matteo Manera, and Massimo Giovannini(2005): “Modeling and
forecasting cointegrated relationships among heavy oil and product prices,” Energy
Economics 27, 831– 848.
4. Duan Jin-Chuan, and Stanley R. Pliska(2004):“Option valuation with co-integrated
asset prices,” Journal of Economic Dynamics & Control 28, 727 – 754
5. Fuh, Cheng-Der, Hu, Inchi, and Lin Shih-Kuei(2003):“Empirical Performance And
Asset Pricing In Hidden Markov Models,” Communication in Statistics: Theory and
Methods 32, 2477-2512.
6. G. Athanasopoulos, and F. Vahid(2008):“VARMA versus VAR for Macroeconomic
Forecasting,” Journal of Business and Economic Statistics 26, 237-252.
7. George Athanasopoulos, Osmani Teixeira de Carvalho Guillen, Joao Victor Issler,
and Farshid Vahid(2009): “Model selection, estimation and forecasting in VAR
models with short-run and long-run restrictions,” Monash Econometrics and
Business Statistics Working Papers with number 2/09.
8. Helmut LÄutkepohl, H. Claessern(1997): “Analysis of cointegrated VARMA
processes,” Journal of Econometrics 80, 223-239.
9. Helmut Läutkepohl(2005). New Introduction to Multiple Time Series Analysis.
Springer.
10. Helmut LÄutkepohl(2006):“Forecasting with VARMA Models,” G. Elliott & C.
Granger & A. Timmermann (ed.) , Elsevier, chapter 06, 287-325.
11. Jose Alberto Mauricio(2006): “Exact maximum likelihood estimation of partially
nonstationary vector ARMA models,” Computational Statistics & Data Analysis 50,
3644-3662.
12. Jamie Emerson(2007):“ Cointegration analysis and the choice of lag length” Applied
Economics Letters 14, 881-885.
13. James D. Hamilton(1989):“A new approach to the economic analysis of
nonstationary time series and the business cycle,” Econometrica 57, 357-384.
14. James D. Hamilton(1995). Time Series Analysis. Princeton University Press.
15. Kuan Chung-Ming (2002): “Lecture On The Markov Switchimg Model,” Institute
of Economics Academia Sinica.
16. Kim Chang-Jin, James C. Morley, and Charles R. Nelson(2000):“Is There a Positive
Intertemporal Tradeoff between Risk and Return After All?” Econometric Society
World Congress 2000 Contributed Papers, NO 915.
17. Mary R. Hardy(2005):“A regime-switch model of long-term stock returns,” North
American Actuarial Journal 5, 41-53.
18. Matsuda, K.(2004), Introduction to Option Pricing with Fourier Transform: Option
Pricing with Exponential Lévy Models, A part of Ph.D. thesis which was filed on
May 2006, Graduate School and University Center of the City University of New
York.
19. Peter Carr and Dilip B. Madan(1998):“Option Valuation Using the Fast Fourier
Transform,” Journal of Computational Finance 2, 61-73.
20. Samarjit Das(2003):“Modelling money, price and output in India: a vector
autoregressive and moving average (VARMA) approach,” Applied Economics 35,
1219-1225.
21. Wang Chou Wen (2009):“Implementing VARMA option pricing models,” Working
paper.
22. Wu Chin-Wen, and Huang Yu-Chuan (2007):“Implementing ARMA Option Pricing
Models,” Ph.D. National Kaohsiung First University of Science and Technology.
23. Walter Enders, Applied Econometric Time Series, 2nd Edition, John Wiley & Sons
2003, ISBN 0-471-23065-0.
24. Zellner (1962):“ An Efficient Method of Estimating Seemingly Unrelated
Regressions and Tests for Aggregation Bias,” Journal of the American Statistical
Association, Vol. 57, No. 298 (Jun., 1962), pp. 348-368
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top