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研究生:陳璽元
研究生(外文):Hsi-Yuan Chen
論文名稱(外文):Empirical Perormance of the Variance Gamma Option Pricing Moadel
指導教授:陳安行陳安行引用關係
指導教授(外文):An-Sing Chen
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
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
畢業學年度:94
語文別:英文
論文頁數:43
外文關鍵詞:Varinace GammaOption
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Abstract
This paper tests the performance of Factor Models( vgsi ) of Carr and Madan (2000) that is a variance gamma option pricing model with a different view. We argue that the larger the pricing error, the more successful a model might be. Because the potential profits are derived from the deviations between a model and market price. We used daily data on Taiwan Stock Exchange Capitalization Weighted Stock Index options (TXO) which are of European style. For testing whether the vgsi models applied to TXO can be arbitraged. We used a different view to test the performance vgsi pricing model based trading strategies whether transaction costs and hedging are considered or not. `As the results indicate that the potential profits of option trading derived from the deviations between option pricing model and market price. Moreover, it will increase in the size of the errors.
CONTENTS

Page
Abstract 1
1. Introduction……………………………………………………………………… 2
2. The Variance Gamma Option Pricing Model…………… …………… 5
3. Data and Methodology……………………………………… …………... 8
3.1 Data and Simple Statistics ………………………… ………... 8
3.2 Methodology…………………………………………………………… 10
4. Empirical Results…………………………………………………………. 13
5.Conclusions ………………………………………………………………….. 15
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