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研究生:賴嘉樺
研究生(外文):Lai, Chia-Hua
論文名稱:利用狀態轉換模型提升結構性改變時外匯選擇權訂價模型的估計效率
論文名稱(外文):Enhancing the performance of option pricing model when structural change the in currency options by regime switching model
指導教授:陳文典陳文典引用關係
指導教授(外文):Chen, Wen-Den
口試委員:陳依兌廖國宏
口試委員(外文):Chen, Yi-TuiLiaw, Gwohorng
口試日期:2012-06-15
學位類別:碩士
校院名稱:東海大學
系所名稱:經濟系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:38
中文關鍵詞:Black - Scholes 模型GARCH 模型GRS-GARCH 模型狀態轉換模型結構性改變
外文關鍵詞:Black - Scholes modelGARCH modelGRS-GARCH modelRegime switching modelstructural change
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  • 被引用被引用:0
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  • 下載下載:5
  • 收藏至我的研究室書目清單書目收藏:0
本研究在探討外匯選擇權模型時,以Black-Scholes模型為基礎,搭配介入模式的GARCH模型,確實能捕捉波動率的異質性與叢聚性,但GARCH只能描述單
一狀態下的行為,無法解釋結構性的改變。利用Gray(1996)提出的一般化狀態轉換模型(Generalized Regime-Switching model,GRS-GARCH model)以加權平均的方式,將各個狀態下每一期的條件期望值與條件變異數加以合併,此模型所估計的波動持續性會降低,對未來波動的預測也更為精確,且能幫助尋找波動率結構
性改變時間點,有效的解釋因外在衝擊所造成的結構性改變。研究採用平均絕對值百分比誤差與均方根百分比誤差,衡量GRS-GARCH模型的實證結果,比起只
以考慮GARCH模型修改Black and Scholes模型的波動率,更加提高模型的評價績效。
The Black-Scholes model is used as a basis to investigate the Currency Options with GARCH model. In conventional approaches when we apply the GARCH model we can capture the volatility of the heteroskedasticity and the clustering. But it describes the behavior of a single regime that unable to explain the structural change. Gray (1996) proposed the Generalized Regime-Switching model using the weighted average in each regime for each of the conditional expectation and the conditional variance to be combined. This model will lower the estimated volatility persistence, and the more accurate forecast of future volatility. It can find the volatility of structural change points in time, and to explain the structural changes caused by external shocks. This study uses the mean absolute percentage error and root mean squared percentage error to measure the empirical results of the GRS-GARCH model and compared to the GARCH model whose modified volatility is estimated by the Black and Scholes model, in which the performance is enhanced.

目錄
第一章 緒論 1
1.1研究動機 1
1.2研究目的 2
1.3研究架構 2
1.4研究流程圖 3
第二章 文獻回顧 4
2.1選擇權文獻 4
2.2狀態轉換模型文獻 7
第三章 研究方法 9
3.1選擇權評價模型 9
3.1.1 Black-Scholes選擇權評價模型 9
3.2 波動性估計模型 12
3.3 歷史波動模型(HISTORICAL VOLATILITY MODEL) 12
3.4 狀態轉換模型 13
3.5 評價模型績效之檢定 16
第四章 實證資料與分析 17
4.1 實證資料 17
4.1.1費城證券交易所外幣選擇權(PHLX World Currency Options) 17
4.1.2無風險利率 17
4.2 基本統計量分析 18
4.3 單一狀態模型的評價估計 19
4.3.1歷史波動率的估計 19
4.3.2GARCH波動性模型估計 19
4.3.3GARCH(p,q)模型估計的波動度 20
4.3.4評價模型績效評估 21
4.4 考慮狀態轉換模型下的評價誤差 22
4.4.1歷史波動率的估計 23
4.4.2狀態轉換模型的參數估計 24
4.4.3評價模型績效評估 25
第五章 結論 27

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