(3.227.235.183) 您好!臺灣時間:2021/04/20 08:31
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:陳鼎彛
研究生(外文):Chen, Ding-Yi
論文名稱:GARCH美式障礙選擇權分析解
論文名稱(外文):Analytical Approximate Solutions for American GARCH Barrier Options
指導教授:林忠機林忠機引用關係
指導教授(外文):Lin, Chung-Gee
口試委員:莊忠柱林美珍
口試委員(外文):Chuang, Chung-ChuLin, Mei-Jhen
口試日期:2013-06-25
學位類別:碩士
校院名稱:東吳大學
系所名稱:財務工程與精算數學系
學門:數學及統計學門
學類:其他數學及統計學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:中文
論文頁數:34
中文關鍵詞:美式選擇權障礙選擇權GARCH最小平方蒙地卡羅法
外文關鍵詞:American OptionBarrier OptionGARCHleast-square Monte Carlo
相關次數:
  • 被引用被引用:0
  • 點閱點閱:121
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本研究擴展Heston and Nandi (2000) 所提出的歐式 GARCH 選擇權模型,同時利用Griebsch and Wystup (2011) 所提出障礙選擇權方法,推導出離散型歐式GARCH障礙選擇權模型,最後整合Huang et al. (1996) 所提出以Richardson外插法 (Extrapolation Technique),進一步推導出GARCH美式障礙選擇權之分析解。為了驗證本研究模型的效率性與準確性,本研究以大樣本最小平方蒙地卡羅模擬法 (Least-Square Monte Carlo Simulations, LSM) 所計算 GARCH 美式障礙選擇權為基準值,數值分析結果顯示,本研究所推導的 GARCH 美式障礙選擇權分析解不但準確且具有效率性,可提供學術界一個 GARCH 美式障礙選擇權的評價依據;實務界亦可用本研究,制訂美式障礙選擇權之評價與避險策略。
This paper extends the works of Heston and Nandi (2000) and integrates the Richardson extrapolation technique of Huang et al. (1996) for developing analytical solution of American GARCH barrier options. By using large sample least-square Monte Carlo Simulations as the benchmarks, we prove that our model is accurate and efficient from the results of numerical experiments. Finally, we explore the impact of parameter changes on our American GARCH barrier options model, the result is also accurate and efficient, the option's issuer and the trader can also use the model in the study to formulate correct American GARCH barrier option pricing and hedging strategies.
摘要 i
Abstract ii
目錄 iii
表目錄 iv
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 1
第三節 論文架構 2
第貳章 文獻回顧 3
第一節 選擇權相關文獻回顧 3
第二節 障礙選擇權相關文獻回顧 3
第三節 美式選擇權相關文獻回顧 5
第參章 模型推導與建構 7
第一節 歐式GARCH選擇權定價模型 7
第二節 歐式GARCH障礙選擇權定價模型 8
第三節 GARCH美式下出局賣權分析解 10
第四節 GARCH美式上出局賣權分析解 12
第肆章 數值結果與分析 15
第伍章 結論與建議 27
第一節 結論 27
第二節 建議 27
附錄一 特徵函數的設定 28
附錄二 機率分配函數 30
參考文獻.. 32

參考文獻
1.Barone-Adesi, G., and R. E. Whalley, 1987, “Efficient Analytic Approximation of American Option Values,” Journal of Finance, 42(2), 310-320.
2.Black, F., and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81(3), 637-654.
3.Boyle, P. P., and S. H. Lau, 1994, “Bumping Up against the Barrier with the Binomial Method, “ Journal of Derivatives, 2, 6-14.
4.Brennan, M. J., and E. S. Schwartz, 1978, “Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis,” Journal of Financial and Quantitative Analysis, 13(3), 461-474.
5.Broadie, M. and J. Detemple (1996), “American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods,” Review of Financial Studies, 9(4), 1211-1250.
6.Carr, R. Jarrow, and R. Myneni, 1992, “Alternative Characterizations of American Put Options,” Mathematical Finance, 2(2), 87–106.
7.Cox, J. C., S. A. Ross, and M. Rubinstein, 1979, “Option Pricing: A Simplified Approach,” Journal of Financial Economics, 7(3), 229-263.
8.Dai, M., and Y. K. Kwok, 2004, “Know-in American Options, “ Journal of Futures Market, 24(2), 179-192.
9.Duan J. C., 1995, “The GARCH Option Pricing Model,” Mathematical Finance,5 , 13-32.
10.Engle, R. F. and V. Ng, 1993, “Measuring and Testing the Impact of News on Volatility,” Journal of Finance, 48, 1749-1777.
11.Gao, B., J. Huang, and M. Subrahmanyam, 2000, “The Valuation of American Barrier Options using the Decomposition Technique,” Journal of Economic Dynamics and Control, 24(11-12), 1783-1827.
12.Geske, R., and H.sE. Johnson, 1984, “The American Put Option Valued Analytically,” Journal of Finance, 39(5), 1511-1524.
13.Griebsch, S. A., and U. Wystup, 2011, “On the Valuation of Fader and Discrete Barrier Options in Heston’s Stochastic Volatility Model,” Quantitative Finance, 11(5), 693-709.
14.Haug, E.sG., 2001, “Closed Form Valuation of American Barrier Options,” International Journal of Theoretical and Applied Finance, 2, 355-359.
15.Heston, S.sL., 1993, “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options,” Review of Financial Studies, 6(2), 327-343.
16.Heston, S.sL., and S. Nandi, 2000, “A Closed-Form GARCH Option Valuation Model,” Review of Financial Studies, 13(3), 585-625.
17.Hsueh, L., 2001, Analysis of American Discrete Barrier Option with Stochastic Rebate, Journal of aFinancial Studies, a9, 27-46.
18.Huang, J., M. G. Subrahmanyam, and G. G. Yu, 1996, “Pricing and Hedging American Options: A Recursive Integration Method,” Review of Financial Studies, 9(1), 277-300.
19.Ingersoll jr, J. E., 1998, “Approximating American Options and other Financial Contracts Using Barrier Derivatives,” Journal of Computational Finance, 2(1), 85-112.
20.Ju, N., 1998, “Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function,” Review of Financial Studies, 11(3), 627-646.
21.Longstaff, F. A., and E. S. Schwartz, 2001, “Valuing American Options by Simulation: A Simple Least-Squares Approach,” Review of Financial Studies, 14(1), 113-147.
22.Merton, R., 1973, “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, 4(1), 141-183.
23.Ritchken, P., 1995, “On Pricing Barrier Options,” Journal of Derivatives, 3, 19-28.
24.Sbuelz, A., 2004, “Analytic American Option Pricing: The Flat-Barrier Lower Bound,” Economic Notes, 33(3), 399-413.
25.Shephard, N. G., 1991, “From Characteristic Function to Distribution Function: A Simple Framework for the Theory,” Econometric Theory, 7(4), 519-529.
26.Tilley, J. A., 1993, “Valuing American Options in a Path Simulation Model,” Transactions of the Society of Actuaries, 45, 83-104.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔