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Title: | GARCH選擇權評價模型之複雜性研究 The Complexity of GARCH Option Pricing Models |
Authors: | Ying-Chieh Chen 陳盈潔 |
Advisor: | 呂育道(Yuh-Dauh Lyuu) |
Keyword: | GARCH,路徑相關,三元樹,選擇權評價, GARCH,path dependency,trinomial tree,option pricing, |
Publication Year : | 2009 |
Degree: | 碩士 |
Abstract: | 建立樹狀模型評價選擇權時,我們通常以增加一日的切割數,n,來增進評價的正確性,但增加 n 的同時也降低了評價的效率性。在LGARCH下,樹狀模型隨著 n 增加會導致樹上之總點數呈指數型成長。Lyuu and Wu (2005)發現,在LGARCH下,樹狀模型上之總點數呈指數型成長與否和 n 有關。但並非所有的GARCH模型皆同。我們發現,LGARCH、NGARCH、GJR-GARCH、TS-GARCH和TGARCH有類似之性質,而在Heston-Nandi和VGARCH下,樹狀模型上之總點數呈指數型成長與否則與 n 無關。 When building trees to price options, we often increase the number of partitions per day, n , to improve accuracy. But increasing n often lowers efficiency. Under LARCH, raising n makes the GARCH tree grow exponentially. Lyuu and Wu (2005) prove that the criteria for explosion and non-explosion under LGARCH depend on n . Surprisingly, not all GARCH models share the same property. This thesis proves that LGARCH, NGARCH, GJR-GARCH, TS-GARCH and TGARCH share this property, but the Heston-Nandi model and VAGRCH do not. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41839 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 資訊管理學系 |
Files in This Item:
File | Size | Format | |
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ntu-98-1.pdf Restricted Access | 1.19 MB | Adobe PDF |
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