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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 傅承德(Cheng-Der Fuh) | |
dc.contributor.author | Hung-Wen Cheng | en |
dc.contributor.author | 鄭宏文 | zh_TW |
dc.date.accessioned | 2021-05-20T21:06:09Z | - |
dc.date.available | 2016-07-18 | |
dc.date.available | 2021-05-20T21:06:09Z | - |
dc.date.copyright | 2011-07-18 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-07-01 | |
dc.identifier.citation | Aїt-sahalia, Y., Kimmel, R., 2007. Maximum likelihood estimation of stochastic volatility
models. Journal of Financial Economics 83, 413-452. Bakshi, G., Cao, C., Chen, Z., 1997. Empirical performance of alternative option pricing models. Journal of Finance 52, 2003-2049. Bollerslev, T., 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31, 307-327. Bossaerts, P., Hillion, P., 1997. Local parametric analysis of hedging in discrete time. Journal of Econometrics 81, 243-272. Bougerol, P., Picard, N., 1992. Stationarity of GARCH processes and of some nonnegative time series. Journal of Econometrics 52, 115-127. Brown, B.M., 1971. Martingale Central Limit Theorems. Annals of Mathematical Statistics 42, 59-66. Chernov, M., Ghysels, E., 2000. Towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Journal of Financial Economics 56, 407–458. Christoffersen, P., Jacobs, K., 2004. Which GARCH model for options valuation? Management Science 50, 1204-1221. Duan, J.C., 1995. The GARCH options pricing model. Mathematical Finance 5, 13-32. Duffie, D., Pedersen, L.H., Singleton, K.J., 2003. Modeling Sovereign Yield Spreads: A 86 Case Study of Russian Debt. Journal of Finance 58, 119-159. Engle, R.F., Mustafa, C., 1992. Implied ARCH models from options prices. Journal of Econometrics 52, 289-311. Engle, R.F., Ng, V.K., 1993. Measuring and Testing the Impact of News on Volatility. Journal of Finance 48, 1749-1778. Engle, R.F., Rosenberg, J.V., 1995. GARCH Gamma. Journal of Derivatives 4, 47-59. Eraker, B., Johannes, M.S., Polson, N.G., 2003. The impact of jumps in returns and volatility, Journal of Finance 53, 1269-1300. Eraker, B., 2004. Do stock prices and volatility jump? Reconciling evidence from spot and options prices. Journal of Finance 59, 1367-1403. Heston, S., 1993. A closed form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies 6, 327-343. Heston, S., Nandi, S., 2000. A Closed-Form GARCH Option Valuation Model. Review of Financial Studies 13, 585-625. Jacquier, E., Jarrow, R., 2000. Bayesian analysis of contingent claim model error. Journal of Econometrics 94, 145–180. Johannes, M., Polson, N., Stroud, J., 2009. Optimal filtering of jump-diffusions: extracting latent states from asset prices. Review of Financial Studies 22, 2759-2799. Jones, C.S., 2003. The dynamics of stochastic volatility: evidence from underlying and options markets. Journal of Econometrics 116, 181-224. Lee, S.W., Hansen, B.E., 1994. Asymptotic theory for the GARCH(1,1) quasi-maximum 87 likelihood estimator. Econometric Theory 10, 29-52. Lehar, A., Scheicher, M., Schittenkopf, C., 2002. GARCH vs. stochastic volatility: options pricing and risk management. Journal of Banking & Finance 26, 323-345. Lumsdaine, R.L., 1996. Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models. Econometrica 64, 575-596. Nelson, D.B., 1990. Stationary and Persistence in the GARCH(1,1) Model. Econometric Theory 6, 318-334. Pan, J., 2002. The jump-risk premia implicit in options: evidence from an integrated time-series study. Journal of Financial Economics 63, 3-50. Platen, E., Schweizer, M., 1994. On smile and skewness. Discussion Paper Serie B 302, University of Bonn, Germany. Renault, E., 1997. Econometric Models of Option Pricing Errors. In Advances in Economics and Econometrics, Seventh World Congress, edited by D.M. Kreps and K.F. Wallis, Econometric Society Monographs, Cambridge University Press, 223-278. Renault, E., Touzi, N., 1996. Option Hedging and Implied Volatilities in a Stochastic Volatility Model. Mathematical Finance 6, 279-302. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/10157 | - |
dc.description.abstract | 這個研究推導了當只用股票數據(ST)、只用選擇權數據(OT)及用股票和選擇權數據有含(S+O+E)或沒有含誤差項(S+O)時的GARCH(1,1) 選擇權價格模型估計的漸近特性。在大樣本理論下的漸近變異數說明了只用選擇權數據(OT)會導致潛在地偏誤和無效率性的估計,反之,用股票和選擇權數據有含誤差項(S+O+E)會產生大致上比其他任何一種方法更有效性的無偏估計。這些結果被有限樣本模擬的研究證實了。因此,介於 S+O+E 和ST 的估計誤差是實質性地導致顯著地不同風險管理結果。這些誤差大大影響了所採用方法的風險管理指標(如選擇權的deltas 和gammas 值)高達 80%。由於這GARCH 選擇權模型是相對地限制及不能捕捉實證現像(參考Engle 和Mustafa (1992)),我們引進一個誤差項到這選擇權定價模型,借貸所需的呆滯到這個估計過程,由此產生了最大有效率性的無偏估計。也就是說,數據多是更好的,但是只有當數據是正確的被應用時。 | zh_TW |
dc.description.abstract | This study derives asymptotic characteristics of GARCH(1,1) options price model estimators when using stock data only (ST), using option data only (OT), and using stock and options data with (S+O+E) or without an error term (S+O). The asymptotic variance in large sample theory shows that the OT method results in potentially biased and inefficient estimators, whereas S+O+E generates unbiased estimators which are substantially more efficient than either ST (S+O) or OT. These results are confirmed by finite sample simulation studies. Hence, the difference in estimation between S+O+E and ST is substantial and results in significantly different risk management consequences. These errors substantially impact risk management metrics as options deltas and gammas vary by as much as 80%, depending on the method used. Since the GARCH option models are relative restrictive and cannot capture the empirical phenomena (cf. Engle and Mustafa (1992)), we introduce an error term to the options pricing model, lending needed slack to the estimation process and resulting in unbiased estimates that are maximally efficient. That is, more data is better, but only if the data set is appropriately applied. | en |
dc.description.provenance | Made available in DSpace on 2021-05-20T21:06:09Z (GMT). No. of bitstreams: 1 ntu-100-D94723006-1.pdf: 1862072 bytes, checksum: 7c8decf51537cb56c3816b9c4aad2a62 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 中文摘要 iv 英文摘要 v 1. Introduction 1 2. An Introduction of Pricing Error 8 3. Parameter Estimation under GARCH Option Pricing models 10 3.1 Model setup and OT specification 10 3.1.1 GARCH(1,1) stock and options pricing models 10 3.1.2 QMLEs for ST and asymptotic results 13 3.1.3 QMLEs for OT and asymptotic results 14 3.1.4 Numerical computation for asymptotic bias and mean square errors 18 3.2 The S+O+E specification 20 3.2.1 QMLEs and asymptotic results 20 3.2.2 Numerical computation for asymptotic mean square errors 23 3.2.3 Numerical findings and direct comparisons in finite sample studies 25 3.3 Risk management implications 27 3.4 Asymptotic behavior for ST, OT, and S+O+E 29 3.4.1 Asymptotic behavior for ST 30 3.4.2 Asymptotic behavior for OT 32 3.4.3 Asymptotic behavior for S+O+E 43 4. Robustness Checking 48 4.1 Model setup and ST specification 48 4.1.1 GARCH(1,1) stock and options pricing models 48 4.1.2 QMLEs and asymptotic results 50 4.2 The S+O+E specification 51 4.2.1 QMLEs and asymptotic results 52 4.2.2 Numerical computation for asymptotic mean square errors 54 4.2.3 Numerical findings and direct comparisons in finite sample studies 56 4.3 Risk management implications 57 5. Conclusion 59 Appendix A 61 Appendix B 73 B.1 Asymptotic behavior for ST 73 B.2 Asymptotic behavior for S+O+E 79 References 86 | |
dc.language.iso | en | |
dc.title | 利用股價與選擇權的數據來估計GARCH選擇權定價模型 | zh_TW |
dc.title | Using Stock and Options Data to Estimate the GARCH Options Pricing Model | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 博士 | |
dc.contributor.coadvisor | 王耀輝(Yaw-Huei Wang) | |
dc.contributor.oralexamcommittee | 張森林(San-Lin Chung),葉小蓁(Hsiaw-Chan Yeh),廖四郎(Szu-Lang Liao),銀慶剛(Ching-Kang Ing) | |
dc.subject.keyword | GARCH選擇權模型,漸近行為,估計的有效率性及偏誤,風險管理, | zh_TW |
dc.subject.keyword | GARCH option model,asymptotic behavior,estimator efficiency and bias,risk management, | en |
dc.relation.page | 101 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2011-07-01 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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