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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34172Full metadata record
| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Hsun-Cheng Chan | en |
| dc.contributor.author | 詹勳政 | zh_TW |
| dc.date.accessioned | 2021-06-13T05:56:52Z | - |
| dc.date.available | 2006-07-10 | |
| dc.date.copyright | 2006-07-10 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-06-28 | |
| dc.identifier.citation | Bibliography
[1] Barle, S. and Cakici, N. “Growing a Smiling Tree,” RISK, 10, October 1995, pp. 76-81. [2] Barle, S. and Cakici, N. (1998). How to Grow a Smiling Tree. The Journal of Financial Engineering, 7: 127-146 [3] Black, F., and Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 659-737 [4] Carr, P., and Madan, D. (1998). Determining volatility surfaces and option values from an implied volatility smile. Working Paper. [5] Derman, E. and Kani, I. (1994a). Riding on the smile. Risk, 7(1), January, 23-39. [6] Derman, E. and Kani, I. (1994b). The Volatility Smile and Its Implied Tree. Quantitative Strategies Research Notes. New York: Goldman Sachs. [7] Derman, E., Kani, I., and Kamal, M. (1998). Trading and hedging local volatility. Journal of Financial Engineering, 6, 233-268 [8] Dumas, B, Fleming, J., and Whaley, R. E. (1993). Implied volatility functions: Empirical tests. Journal of Finance. 53, 2059 [9] Dupire, B. (1994). Pricing with a smile, Risk 7: 18-20 [10] Hull, John C. Options, Futures, and Other Derivatives. 5rd ed. Englewood Cliffs, New Jersey: Prentice-Hall, 2002. [11] Jackwerth, J. C., and Rubinstein, M. (1995). Recovering probability distributions from option prices. Journal of Finance, 51, 1611-1631 [12] Lyuu, Yuh-Dauh Introduction to Financial Computation: Principles, Mathematics, Algorithms. 2001 [13] Rubinstein, M. (1994). Implied binomial trees. Journal of Finance, 49, 771-818 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34172 | - |
| dc.description.abstract | 從市場可以觀察到的選擇權來建構一個樹使得其可以符合市場上的微笑現象對評價來說非常重要。我們採用Barle 和 Cakici 在1998年提出的隱含二元樹，此模型修改了一些Derman和Kani在1994年提出的隱含二元樹的特徵，我門將此模型用來評價臺灣股票加權指數選擇權，其中臺指選擇權是屬於歐式選擇權。由於隱含二元樹可以在不同的到期日和執行價格符合其隱含波動率，因此可以幫助我們評價其它的新奇選擇權或是路徑相關選擇權。根據這些特性，用此模型評價出衍生性金融商品的價格會和市場的報價較一致。所以，結果顯示用此種樹模型來幫助我們評價一些新的衍生性金融商品是非常實用且市場導向的。 | zh_TW |
| dc.description.abstract | ABSTRACT
Building a recombining tree consistent with the volatility smile from observed options in the market is important for pricing. We adopts Barle and Cakici’s (1998) implied tree that modifies some features in Derman and Kani’s (1994) and use it to price TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) options, which are European options. Then one can price other exotic or path-dependant options by using implied binomial trees which satisfy implied volatilities under different maturities and strike prices. With this feature, the prices of derivatives will be more consistent with market quotes. Therefore, the result is a very practical and market-oriented tree model that helps us price new derivatives. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T05:56:52Z (GMT). No. of bitstreams: 1 ntu-95-R93922097-1.pdf: 1083491 bytes, checksum: 13cff7fbbd9e457190cec0760308dc76 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | Contents
1. Introduction 2 1.1 Setting the Ground........................2 1.2 Motivations...............................3 1.3 Structure of the Thesis...................3 2. Fundamental Concepts 4 2.1 Option Basics.............................4 2.2 A Model of the Behavior of Stock Prices...6 2.3 The Black-Scholes Formula.................6 2.4 Binomial Tree Model.......................7 3. Options and Implied Volatilities 9 3.1 Implied Volatility........................9 3.2 Volatility Smile, Volatility Term Structure, and Volatility Surface ...................9 3.3 Variable Volatility.......................9 4. Methodology 11 4.1 Local Volatility Function................11 4.2 Implied Binomial Tree....................11 4.3 Building an Implied Binomial Tree........12 5. Numeric Results..........................18 6. Conclusions..............................28 Bibliography......................................29 | |
| dc.language.iso | en | |
| dc.subject | 隱含波動率 | zh_TW |
| dc.subject | 隱含二元樹 | zh_TW |
| dc.subject | 二元樹 | zh_TW |
| dc.subject | 微笑現象 | zh_TW |
| dc.title | 使用隱含二元樹方法評價台指選擇權 | zh_TW |
| dc.title | Implied Binomial Tree Method for Pricing TAITEX Options | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 金國興,戴天時 | |
| dc.subject.keyword | 隱含二元樹,二元樹,微笑現象,隱含波動率, | zh_TW |
| dc.subject.keyword | implied binomial tree,binomial tree,smile,implied volatility, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2006-06-29 | |
| dc.contributor.author-college | 電機資訊學院 | zh_TW |
| dc.contributor.author-dept | 資訊工程學研究所 | zh_TW |
| Appears in Collections: | 資訊工程學系 | |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-95-1.pdf Restricted Access | 1.06 MB | Adobe PDF |
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