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研究生:高致傑
研究生(外文):Chih Jie Kao
論文名稱:以條件異質變異與偏態度模型對選擇權定價
論文名稱(外文):Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models
指導教授:棗厥庸棗厥庸引用關係
指導教授(外文):C. Y. Tsao
學位類別:碩士
校院名稱:長庚大學
系所名稱:工商管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:99
論文頁數:46
中文關鍵詞:GJR-GARCHfiltered historical simulationSkewness
外文關鍵詞:GJR-GARCHfiltered historical simulationSkewness
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在本篇文章中,使用條件異質變異與偏態度模型來為台灣股價選擇權做定價,為了增加運算方面的效率此模型假設殘差項是一個Gram–Charlier (GC)多項式的密度函數,並使用修正過後的FHS方法校正參數,誤差計算方式是使用均方加權誤差率,實證結果發現加入探討偏態度的模型估計能力比原始的GJR-GARCH模型來的好。
In our paper, we use Autoregressive Conditional Heteroskedastic Variance and Skewness Model to price TXO options. In order to improve the efficiency of compute. The model is estimated assuming a Gram–Charlier (GC) series expansion of the normal density function for the error term. We used modified FHS method to amend parameter. Then, we used Mean Square Weighted Error Rate to compute the value of error. In empirical analysis, we show that consider GJR-GARCH with Skewness model outperform GJR-GARCH model.
誌謝 i
中文摘要 ii
Abstract iii
第一章 緒論 1
第二章 文獻回顧 4
第一節 Black and Scholes model 4
第二節 ARCH與GARCH模型 4
第三節 GJR GARCH 5
第四節 FHS法 6
第五節 均方加權誤差率 7
第六節 Skewness 7
第三章 研究方法 10
第一節 歷史報酬動態 10
第二節 條件異質變異與偏態度模型 10
第三節 定價報酬動態 12
第四節 估計未來的波動度與偏態度 13
第五節 均方加權誤差率 14
第四章 實證研究 16
第一節 資料選取 16
第二節 校正結果 18
第五章 結論 21
附錄一 公式推導 26
附錄二 圖 29
附錄三 表 32


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[33] 林佩瑤,<以選擇權市價修正GARCH定價模型>,長庚大學,碩士論文,民國97年。
[34] 洪偉育,<Applying Filtered Historical Simulation to American Options: Evidence form S&P 100 Index Options>,長庚大學,碩士論文,民國97年。

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