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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38279完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Yan-Fu Liou | en |
| dc.contributor.author | 劉彥甫 | zh_TW |
| dc.date.accessioned | 2021-06-13T16:29:23Z | - |
| dc.date.available | 2010-07-20 | |
| dc.date.copyright | 2005-07-20 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-07-12 | |
| dc.identifier.citation | Ahn, C. M., 1992, “Option Pricing when Jump Risk Is Systematic,” Mathematical Finance, 2, 299–308.
Black, F., and Scholes, M., 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 659–683. Breeden, D. T., 1979, “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities,” Journal of Financial Economics, 7, 265–296. Bates, D. S., 1996, “Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options,” Review of Financial Studies, 9, 69–107. Duan, J., Ritchken, P., and Sun, Z., 2004a, “Approximating GARCH-Jump Models, Jump-Diffusion Processes, and Option Pricing,” forthcoming in Mathematical Finance. Duan, J., Ritchken, P., and Sun, Z., 2004b, “Jump Starting GARCH: Pricing and Hedging Options with Jumps in Returns and Volatilities,” Working paper. Engle, R. F., 2003, “Risk and Volatility: Econometric Models and Financial Practice,” Nobel lecture. Feller, W., 1971, An Introduction to Probability Theory and Its Applications: Vol. 2, Wiley and Sons, New York. Heston, S., 1993, “A Closed-Form Solution for Options with Stochastic Volatility, with Application to Bond and Currency Options,” Review of Financial Studies, 6, 327–343. Heston, S., and Nandi, S., 2000, “A Closed-Form GARCH Option Valuation Model,” Review of Financial Studies, 13, 585–625. Lucas, R. E., 1978, “Asset Prices in an Exchange Economy,” Econometrica, 46, 1414–1426. Merton, R., 1976, “Option Pricing when Underlying Stock Returns Are Discontinuous,” Journal of Financial Economics, 3, 125–144. Maheu, J. M., and McCurdy T. H., 2004, “News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns,” Journal of Finance, 59, 755–793. Naik, V., and Lee, M., 1990, “General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns,” Review of Financial Studies, 3, 493–521. Zolotarev, V. M., 1957, “Mellin-Stieltjes Transforms in Probability Theory,” Theory of Probability and Its Applications, 2, 433–460. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38279 | - |
| dc.description.abstract | 本論文考慮股價不連續情況下之選擇權定價。 Heston, Nandi (2000) 的 GARCH 選擇權定價模型 以及 Ahn (1992) 的系統性跳躍風險選擇權定價模型是本論文定價模型的特例。 Bates (1996) 的隨機波動度及跳躍選擇權定價模型會是本論文模型的一種極限模型。本論文亦導出本論文選擇權定價模型的封閉解。本論文的封閉解是文獻上第一個 GARCH-Jump 選擇權定價模型的封閉解。 | zh_TW |
| dc.description.abstract | This thesis considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns. Our model nests the GARCH option model of Heston and Nandi (2000) and the model of Ahn (1992), where the jump risk is priced. It contains Bates’s (1996) stochastic volatility and jump model as a continuous-time limit. We also provide a closed-form solution for our model. This is the first closed-form solution for GARCH-Jump models in the literature. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T16:29:23Z (GMT). No. of bitstreams: 1 ntu-94-R92723060-1.pdf: 175846 bytes, checksum: 1db78743ccbfc14594ebf22ae53642c7 (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | 1. Introduction 1 2. Methodology 3
3. A GARCH-Jump Option Pricing Formula 3.1 The Basic Setup 5 3.2 Pricing 7 3.3 Limiting Form of the GARCH-Jump Model 13 4. Conclusions 16 Appendices 17 References 18 | |
| dc.language.iso | en | |
| dc.subject | 選擇權 | zh_TW |
| dc.subject | 定價 | zh_TW |
| dc.subject | option | en |
| dc.subject | pricing | en |
| dc.title | A Closed-Form Solution for GARCH-Jump Option Pricing Models | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,金國興 | |
| dc.subject.keyword | 選擇權,定價, | zh_TW |
| dc.subject.keyword | option,pricing, | en |
| dc.relation.page | 18 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2005-07-13 | |
| 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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