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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37375完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Cheng Wu | en |
| dc.contributor.author | 吳箏 | zh_TW |
| dc.date.accessioned | 2021-06-13T15:26:01Z | - |
| dc.date.available | 2013-08-05 | |
| dc.date.copyright | 2008-08-05 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-07-17 | |
| dc.identifier.citation | [1] Chriss, N. and W. Morokoff. “Market Risk for Volatility and Variance Swaps.” Asset Management & Firmwide Risk, Goldman Sachs, New York, 1999.
[2] Cox, J.C., S.A. Ross, and M. Rubinstein. “Option Pricing: A Simplified Approach.” Journal of Financial Economics, 7, No. 3, 1979, pp. 229–263. [3] Demeterfi, K., E. Derman, M. Kamal, and J. Zou. “More than You Ever Wanted To Know about Volatility Swaps.” Quantitative Strategies Research Notes, Goldman Sachs, New York, 1999. [4] Demeterfi, K., E. Derman, M. Kamal, and J. Zou. “A Guide to Volatility and Variance Swaps.” Journal of Derivatives, 6, No. 4, 1999, pp. 9–32. [5] Derman, E., M. Kamal, I. Kani, J. McClure, C. Pirastech, and J. Zou. “Investing in Volatility.” Futures and Options World, 1998. [6] Derman, E. and I. Kani. “The Volatility Smile and Its Implied Tree.” Quantitative Strategies Research Notes, Goldman Sachs, New York, 1994. [7] Derman, E., I. Kani, and N. Chriss. “Implied Trinomial Trees of the Volatility Smile.” Quantitative Strategies Research Notes, Goldman Sachs, New York, 1996. [8] Derman, E., I. Kani, and J. Zou. “The Local Volatility Surface.” Quantitative Strategies Research Notes, Goldman Sachs, New York, 1995. [9] Haug, E. G. The Complete Guide to Option Pricing Formulas. New York: McGraw-Hill, 1998. [10] Hull, J. Options, Futures, and Other Derivatives. 5th Edtion. Englewood Cliff, New Jersey: Prentice Hall, 2003. [11] Kani, I., E. Derman, and M. Kamal. “Trading and Hedging Local Volatility.” Quantitative Strategies Research Notes, Goldman Sachs, New York, 1996. [12] Lyuu, Y.-D. Financial Engineering and Computation. Cambridge, UK: Cambridge University Press, 2002. [13] Neftci, S. Principles of Financial Engineering. Oxford, UK: Elsevier Academic Press, 2004. [14] Neuberger, A. “The Log Contract: A New Instrument To Hedge Volatility.” Journal of Portfolio Management, 20, No. 2, 1994, pp. 74–80. [15] Neuberger, A. “The Log Contract and Other Power Contracts.” The Handbook of Exotic Options. I. Nelken, ed., Chicago: Irwin Professional Publishing, 1996, pp. 200–212. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37375 | - |
| dc.description.abstract | 波動率交換及變異數交換提供交易員一個有效率的方式擁有波動率的部位。一般用來評價波動率交換及變異數交換的方式為複製的方式，由Demeterfi, Derman, Kamal和Zou 在1999年提出。在本篇論文中，嘗試以較為直觀的方式來進行波動率交換及變異數交換的評價，我們將使用由Derman和Kani在1996年所提出的隱含三元樹狀模型，利用此模型所找出的局部的波動率及變異數評價波動率及變異數交換，接著再將其結果與一般的評價方式進行比較。我們發現利用此方式亦可有效的評價波動率交換及變異數交換。 | zh_TW |
| dc.description.abstract | Equity-index volatility and variance swaps offer an efficient way for traders to take synthetic positions in pure volatility. General pricing method for volatility and variance swaps uses the replication method in Demeterfi, Derman, Kamal, and Zou (1999). In this thesis, we try to use the more direct and intuitive way to price volatility and variance swaps. Specifically, we will use implied trees introduced in Derman, Kani, Chriss (1994) and Derman, Kani (1996) which can match the implied local volatilities and variances. Then we employ these local volatilities and variances to price volatility and variance swaps. After using the implied tree to price, we also compare the result of this method to the general pricing method. We find out that using this method can also get the value of volatility and variance swaps just similar to the general method. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T15:26:01Z (GMT). No. of bitstreams: 1 ntu-97-R95723029-1.pdf: 299483 bytes, checksum: 8b3bd44a2824cf9fcd661ffb8511dbf5 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | Contents
1 Introduction.................................1 1.1 Motivations..............................1 1.2 Organization of This Thesis..............2 2 Background...................................3 2.1 Literature Review........................3 2.2 Volatilities .............................4 3 Volatility and Variance Swaps................7 3.1 Basic Definitions........................7 3.2 General Pricing Method..................11 4 Methodology.................................18 4.1 Implied Binomial Trees..................18 4.2 Implied Trinomial Trees.................26 4.3 Pricing Volatility and Variance Swaps...30 4.4 An Example..............................33 5 Strategies and Applications.................41 6 Conclusions.................................46 Bibliography..................................47 Appendix......................................49 | |
| dc.language.iso | en | |
| dc.subject | 波動率交換 | zh_TW |
| dc.subject | 變異數交換 | zh_TW |
| dc.subject | 隱含樹狀模型 | zh_TW |
| dc.subject | 變異數 | zh_TW |
| dc.subject | 波動率 | zh_TW |
| dc.subject | volatility | en |
| dc.subject | variance | en |
| dc.subject | volatility swap | en |
| dc.subject | variance swap | en |
| dc.subject | implied tree | en |
| dc.title | 利用隱含樹狀模型評價波動率及變異數交換 | zh_TW |
| dc.title | Pricing Volatility and Variance Swaps by Implied Trees | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 96-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,金國興 | |
| dc.subject.keyword | 波動率,變異數,波動率交換,變異數交換,隱含樹狀模型, | zh_TW |
| dc.subject.keyword | volatility,variance,volatility swap,variance swap,implied tree, | en |
| dc.relation.page | 53 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2008-07-18 | |
| 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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