臺灣博碩士論文加值系統

本文採用Jabbour,Kramin and Young (2014)的混合樹狀圖評價法和Kamrad and Ritchken (1991)三項樹評價法，來評價日圓外匯選擇權。探討上述二模型的理論價格是否存在評價價差，並藉此找到一個有效率的選擇權評價方式，本文研究顯示，不論買權或賣權，當選擇權價格被高估時，Jabbour,Kramin and Young (2014)高估幅度高於Kamrad and Ritchken (1991)；但當選擇權價格被低估時，Jabbour,Kramin and Young (2014)低估的幅度高於Kamrad and Ritchken (1991)。從檢定結果來看，Jabbour,Kramin and Young (2014)與Kamrad and Ritchken (1991)在買權與賣權的價差均顯著異於零，因此無論Jabbour,Kramin and Young (2014)的混合樹狀圖評價法，或是Kamrad and Ritchken(1991)三項樹評價法，日圓外匯選擇權的理論值均無法真實地貼近市價。整體而言，Jabbour,Kramin and Young (2014)傾向於高估選擇權價值，而Kamrad and Ritchken(1991)傾向於低估選擇權價值。

In this paper, Jabbour, Kramin and Young (2014) hybrid lattice method and Kamrad and Ritchken (1991) trinomial tree method to valuation of currency options. To investigate whether the above two models exist evaluate the theoretical price spread, and to find an efficient option method, this study shows that whether call option or put option choose when the option is overvalued, Jabbour, Kramin and Young (2014) overestimated than Kamrad and Ritchken (1991) when the option price is undervalued, Jabbour, Kramin and Young (2014) underestimated the magnitude higher than Kamrad and Ritchken (1991). Jabbour, Kramin and Young (2014) and Kamrad and Ritchken (1991) call option and put optiont spreads are significantly different, so whether Jabbour, Kramin and Young (2014) of hybrid lattice method, or Kamrad and Ritchken (1991) trinomial tree method, the theoretical value of the currency option can’t be real close to the market value. Jabbour, Kramin and Young (2014) overestimate the value of the option, but Kamrad and Ritchken (1991) underestimate the value of the option.

中文摘要 I
英文摘要 II
誌 謝 III
目錄 IV
表目錄 VI
圖目錄 VII
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第貳章 文獻回顧 4
第一節 選擇權評價相關文獻 4
第二節 數值模擬方法相關文獻 8
第參章 研究方法 20
第一節 Kamrad & Ritchken (1991) 20
第二節 混合樹狀圖模型Hybrid Based Lattice Model 22
第肆章 實證分析 25
第一節 資料來源與敘述統計 25
第二節 匯率模擬分析 26
第三節 選擇權價差分析 32
第四節 參數模擬分析 37
第五節 價差檢定分析 64
第伍章 結論與建議 69
第一節 結論 69
第二節 研究限制與後續研究建議 70
參考文獻 71

一、中文文獻
1.趙昶瑋，2014，外匯選擇權之評價- SU跳躍模型之應用，國立高雄第一科技大學，碩士論文。
二、外文文獻
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3.Black, F., & Scholes, M. 1973.“The Pricing of Options and Corporate liabilities”,The Journal of Political Economy, 637-654.
4.Boyle, P., P. 1977. “Options: A Monte Carlo Approach”,Journal of Financial Economics, 4(3), 323-338.
5.Boyle, P., Broadie, M., & Glasserman, P. 1997.“Monte Carlo Methods for Security Pricing”,Journal of Economic Dynamics and Control, 21(8), 1267-1321.
6.Boyle, P. P. 1988. “A Lattice Framework for Option Pricing With Two State Variables”,Journal of Financial and Quantitative Analysis, 23(01), 1-12.
7.Brennan, M. J., & Schwartz, E. S. 1977.“Finite Difference Methods and Jump Processes Arising In the Pricing of Contingent Claims: A Synthesis ”, Journal of Financial and Quantitative Analysis, 12(04), 659-659.


8.Cox, J. C., Ross, S. A., & Rubinstein, M. 1979.“Option Pricing: A Simplified Approach”,Journal of Financial Economics, 7(3), 229-263.
9.Jabbour, G. M., Kramin, M. V., & Young, S. D. 2010.“Structural Default Modeling: A Lattice-Based Approach”,Journal of Derivatives, 17(4), 44-53.
10.Jabbour, G. M., Yu, S., Kramin, M. V., & Young, S. D. 2014.“Structural Default Modeling: A Hybrid Based Approach”,The Journal of Fixed Income, 23(4), 33-49.
11.Kamrad, B., & Ritchken, P. 1991.“Multinomial Approximating Models for Options with k State Variables”, Management Science, 37(12), 1640-1652.
12.Merton, R. C. 1974.“On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”,The Journal of Finance, 29(2), 449-470.
13.Merton, R. C. 1976.“Option Pricing when Underlying Stock Returns are Discontinuous”,Journal of Financial Economics, 3(1), 125-144.