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研究生:巫春洲
研究生(外文):Chun-Chou Wu
論文名稱:GARCH選擇權評價模型:修正、應用和實證研究
論文名稱(外文):The GARCH Option Pricing Model: Modification, Application and Empirical Study
指導教授:張傳章張傳章引用關係張森林張森林引用關係
指導教授(外文):Chuang-Chang ChangSan-Lin Chung
學位類別:博士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:英文
論文頁數:76
中文關鍵詞:美式選擇權格子點演算法GARCH 模型三元樹障礙選擇權線性內插法NGARCH 模型馬可夫鏈數值演算法認購權證Black-Scholes 評
外文關鍵詞:Black-Scholes Formulalinear interpolationNGARCH ModelMarkov Chain AlgorithmWarrantsbarrier optionsTrinomial TreesGARCHAmerican OptionsLattice Algorithm
相關次數:
  • 被引用被引用:2
  • 點閱點閱:453
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
Cover
Contents
Part 1: The GARCH Option Pricing Model: a Modification of Lattice Approach
Part 2: Pricing Discretely Monitored Barrier Options by a Lattice Approach under GARCH Process
Part 3: An Empirical Study of the Price Behavior of Warrants: An Application of GARCH Model (in Chinese)
Part I:1. Black, F. and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 637-659.2. Black, F. 1976, Studies of Stock Price Volatility Changes, in Proceeding of the 1976 Meetings of the Business and Economic Statistics Section, American Statistical Association, 177-181.3. Bollerslev, T., 1986,Generalized Autoegressive Conditional Heteroskedasticity, Journal of Econometrics 31, 307-327.4. Bollerslev, T., R. Chou and K. Kroner, 1992, ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence, Journal of Econometrics 52, 1-59.5. Boyle, P. 1986, Options Valuation Using a Three Jump Process. International Options Journal, 3, 7-12.6. Boyle, P, 1988, A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 23 March, 1-12.7. Brockhaus Oliver, Michael Farkas, Andrew Ferraris, Douglas Long and Marcus Overhaus, 2000, Equity Derivatives and Market Risk Models, Risk Publications.8. Cakici Nusret and Kudret Topyan, 2000, The GARCH Option Pricing Model: A Lattice Approach. Journal of Computational Finance, Summer, 71-85. 9. Cox, J. C., Ross, S.A. and Rubinstein, M., 1979, Option Pricing: A Simplified Approach. Journal of Financial Economics, 7, 229-263.10. Duan, J.C-., 1995, The GARCH Option Pricing Model, Mathematical Finance 5, 13-32.11. Duan,J,C-, Evan Dudley, Genevieve Gauthier and Simonato, 2000, Pricing Discretely Monitored Barrier Option by a Markov Chain, working paper, Hong Kong University of Science and Technology. 12. Duan, J, C- and Simonato, 2000, American Option Pricing under GARCH by a Markov Chain Approximation, Journal of Economic Dynamic and Control.13. Engle, R., 1982, Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation, Econometrica 50, 987-1108.14. Engle, R. and V, Ng, 1993, Measuring and Testing of the Impact of News on Volatility, Journal of Finance 48, 1749-1778.15. Hsieh, K.C. and Ritchken, 2000, An Empirical Comparison of GARCH Option Pricing Models, Working Paper(Case Western Reserve University, USA)16. Kallsen, J. and M. Taqqu, 1998, Option Pricing in ARCH-Type Models, Mathematical Finance 8, 13-26.17. Kamrad, Bardia, and Ritchken, P. 1991, Multinomial Approximating Models for Options with k State Variables, Management Science 37, 1640-1653.18. Mandelbrot, B., 1963, The Variation of Certain Speculative Prices, Tournal of Business, 36, 394-419.19. Ritchken, P. and R. Trevor, 1999, Pricing Options Under Generalized GARCH and Stochastic Volatility Process, Journal of Finance 54, 337-402.Part II:1. Ahn Dong-Hyun, S. Figlewski and Bin Gao, 1999, Pricing Discrete Barrier Options with an Adaptive Mesh Model, Journal of Derivatives, Summer,33-43.2. Black, F. 1976, Studies of Stock Price Volatility Changes, in Proceeding of the 1976 Meetings of the Business and Economic Statistics Section, American Statistical Association, 177-181.3. Black, F. and M. Scholes, 1973, The Pricin0g of Options and Corporate Liabilities, Journal of Political Economy 81, 637-659.4. Bollerslev, T., 1986,Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 31, 307-327.5. Bollerslev, T., R. Chou and K. Kroner, 1992, ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence, Journal of Econometrics 52, 1-59.6. Boyle, P. 1986, Options Valuation Using a Three Jump Process. International Options Journal, 3, 7-12.7. Boyle, P, 1988, A Lattice Framework for Option Pricing with Two State Variables. Journal of Financial and Quantitative Analysis, 23 March, 1-12.8. Boyle, P, and S. H. Lau, 1994, Bumping Up Against the Barrier with the Binomial Method. Journal of Derivatives, Summer, 6-14. 9. Boyle, P, and Y. S. Tian, 1999, Pricing Lookback and Barrier Options under the CEV Process, Journal of Financial and Quantitative Analysis. Vol. 34, No. 2, June, 241-264.10. Broadie, M., Glasserman, P. and S. Kou, 1997, Acontinuity Correction for Discrete Barrier Options, Mathematical Finance 7, 325-349.11. Cheuk Terry H. F. and Ton C. F. Vorst, 1996, Complex Barrier Options, Journal of Derivatives. Fall, 8-22.12. Cox, J. C., Ross, S.A. and Rubinstein, M., 1979, Option Pricing: A Simplified Approach. Journal of Financial Economics, 7, 229-263.13. Duan, J.C-., 1995, The GARCH Option Pricing Model, Mathematical Finance 5, 13-32.14.Duan,J,C-, Evan Dudley, Genevieve Gauthier and Simonato, 2001, Pricing Discretely Monitored Barrier Option by a Markov Chain, working paper, Hong Kong University of Science and Technology.15.Duan J.C-, and Jason Z. Wei, 1999, Pricing Foreign Currency and Cross- Currency Options Under GARCH, Journal of Derivatives, Fall,51-63. 16.Duan, J, C- and Simonato, 2000, American Option Pricing under GARCH by a Markov Chain Approximation, Journal of Economic Dynamic and Control, 25(11), 1689-1718.17.Engle, R., 1982, Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation, Econometrica 50, 987-1108.18.Engle, R. and V, Ng, 1993, Measuring and Testing of the Impact of News on Volatility, Journal of Finance 48, 1749-1778.19.Figlewski Stephen and Bin Gao, 1999, The Adaptive Mesh Model: A New Approach to Efficient Option Pricing, Journal of Financial Economics 53, 313-351.20.Gao Bin, J. Z. Huang and M. Subrahmanyam, 1999, The Valuation of American Barrier Options Using the Decomposition Technique, working paper, New York University.21.Hsieh, K.C. and Ritchken, 2000, An Empirical Comparison of GARCH Option Pricing Models, Working Paper(Case Western Reserve University, USA)22.Kallsen, J. and M. Taqqu, 1998, Option Pricing in ARCH-Type Models, Mathematical Finance 8, 13-26.23.Kamrad, Bardia, and Ritchken, P. 1991, Multinomial Approximating Models for Options with k State Variables, Management Science 37, 1640-1653.24.Mandelbrot, B., 1963, The Variation of Certain Speculative Prices, Journal of Business 36, 394-419.25.Ritchken, P. 1995, On Pricing Barrier Options, Journal of Derivatives, Winter, 19-28.26.Ritchken, P. and R. Trevor, 1999, Pricing Options Under Generalized GARCH and Stochastic Volatility Process, Journal of Finance 54, 337-402.27.Wei Jason Z., Valuation of Discrete Barrier Options by Interpolations, 1998, Journal of Derivatives, Fall, 51-73. 28.Wu C. C., 2001, Comments on Ritchken and Trevor for GARCH Option Pricing Algorithm, Working Paper (National Central University, Taiwan) Part III:1. 李存修(1999),「台灣認購權證個案集」,智勝出版社。2. Tsun-Siou Lee & Ching Yang(2001), 「An Empirical Analysis of the Market Structure and the Price Behavior of Warrants: The Case of Taiwan」台灣金融財務季刊,第一輯第二期,頁89-101。3. 李怡宗、劉玉珍、李健瑋(1999),「Black-Scholes 評價模型在台灣認購權證市場之實證」,管理評論,第十八卷第三期,頁83-104。4. 徐守德、官顯庭和黃玉娟(1998),「台股認購權證定價之研究」,管理評論,第十七卷第二期,頁45-69。5. Bates, D.S. (1995), “Testing Option Pricing Models,” Unpublished manuscript, The Wharton School of the University of Pennsylvania.6. Black, F. and M. Scholes(1973),“The Pricing of Options and Corporate Liabilities,”Journal of Political Economy 81, pp.637-659.7. Black, F(1975), “Fact and Fantasy in the Use of Option,” Financial Analysts Journal, Vol.31, pp.36-41.8. Black, F(1976), “Studies of Stock Price Volatility Changes,” in Preceding of the 1976 Meetings of the Business and Economic Statistics Section, American Statistical Association, pp.177-181. --9. Bollerslev,T.,(1986),”Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics 31,pp.307-327.10.Bollerslev, T., R. Chou and K. Kroner,(1992), “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence”, Journal of Econometrics 52,pp.1- 59.11.Duan, J.-C., (1995), “ The GARCH Option Pricing Model”, Mathematical Finance 5, pp.13-32.12.Duan,J,C-, Evan Dudley, Genevieve Gauthier and Simonato, (2000),” Pricing Discretely Monitored Barrier Option by a Markov Chain”, working paper, Hong Kong University of Science and Technology. 13.Duan, J, C-, and Hua Zhang(2000),” Pricing Hang Seng Index Options around the Asian Financial Crisis-A GARCH Approach,” Journal of Banking and Finance ,pp.1989-2014. 14.Duan, J, C- and Simonato(2000), “American Option Pricing under GARCH by A Markov Chain Approximation,” Journal of Economic Dynamics and Control. ,pp.1689-1718.15.Engle, R.,(1982),” Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation”, Econometrica 50, pp.987-1108.16.Engle, R. and V, Ng,(1993), “Measuring and Testing of the Impact of News on Volatility,” Journal of Finance 48, pp.1749-1778.17.Gultekin, Rogalski, and Tinic(1982), “Option Pricing Model Estimates: Some Empirical Results”, Financial Management, Vol. 11, pp.58-69.18.Ljung, G. and George Box(1978), “On a Measure of Lack of Fit in Time Series Models” Biometrica 65, pp.297-303.19.Neston, Steven L. and Salkat Nandi, Fall(2000),” A Closed-Form GARCH Option Valuation Model,” The Review of Financial Studies, Vol. 13, pp.585-625.20.Hsieh, K. C. and Peter Ritchken, September.(2000),” An Empirical Comparison of GARCH Option Pricing Models”, Working Paper Case Western Reserve Univ. 21.Kallsen, J. and M. Taqqu(1998), “Option Pricing in ARCH-Type Models,” Mathematical Finance,8, pp.13-26.22.Mandelbrot, B., (1963), “ The Variation of Certain Speculative Prices,” Journal of Business, 36, pp.394-419. 23.MacBeth, and Merville(1979), “An Empirical Examination of the Black-Scholes Call Option Pricing Model,” Journal of Finance, Vol. 34, pp.1173-1186.24.Merton(1973), “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, Vol.4, pp.141-183. 25.Merton(1976),“Option Pricing When Underlying Stock Return Are Discontinuous, Journal of Financial Economics, 3, pp.125-144.26.Ritchken, P. and R. Trevor (1999),” Pricing Options Under Generalized GARCH and Stochastic Volatility Process,” Journal of Finance 54, pp.337-402.
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