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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41839完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
| dc.contributor.author | Ying-Chieh Chen | en |
| dc.contributor.author | 陳盈潔 | zh_TW |
| dc.date.accessioned | 2021-06-15T00:33:51Z | - |
| dc.date.available | 2009-01-20 | |
| dc.date.copyright | 2009-01-20 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-01-09 | |
| dc.identifier.citation | [1] Bollerslev, T. (1986) Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, pp. 307–327.
[2] Cakici, N., and Topyan, K. (2000) The GARCH Option Pricing Model: A Lattice Approach. Journal of Computational Finance, 3(4), pp. 71–85. [3] Duan, J.-C. (1995) The GARCH Option Pricing Model. Mathematical Finance, 5(1), pp. 13–32. [4] Engle, R. (1993) Measuring and Testing the Impact of News on Volatility. Journal of Finance, 48, pp. 1749–1778. [5] Glosten. L., Jagannathan, R., and Runkle, D. (1993) On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance 48, pp. 1779–1801. [6] Heston, S.L., and Nandi, S. (2000) A Closed-Form GARCH Option Valuation Model. Review of Financial Studies, 13(3), pp. 585–625. [7] Lyuu, Y.-D., and Wu, C.-N. (2005) An Accurate and Provably Efficient GARCH Option Pricing Tree. Quantitative Finance, 5(2), pp. 181–198. [8] Ritchken, P., and Trevor, R. (1999) Pricing Options under Generalized GARCH and Stochastic Volatility Processes. Journal of Finance, 54(1), pp. 377–402. [9] Schwet, G.W. (1989) Why Does Stock Market Volatility Change over Time? Journal of Finance, 44, pp. 1115–1153. [10] Taylor, S. (1986) Modeling financial time series. Wiley, New York. [11] Zakoian, J.-M. (1994) Threshold Heteroskedastic Models. Journal of Economic Dynamics and Control, 18, pp. 981–995. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41839 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T00:33:51Z (GMT). No. of bitstreams: 1 ntu-98-R95723051-1.pdf: 1214586 bytes, checksum: 4d8cc6beb002d6beb846b7ba6ee505e4 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | Chapter 1 Introduction 1
Chapter 2 The GARCH Models and the Change of Measure 3 Chapter 3 The RT Tree 7 Chapter 4 The Mean-Tracking (MT) Tree 11 Chapter 5 LGARCH 15 5.1 The Criterion for Explosion 15 5.2 The Criterion for Non-Explosion 15 5.3 Numerical Results under Explosion Conditions 16 5.4 Numerical Results under Non-Explosion Conditions 17 Chapter 6 NGARCH 19 6.1 The Criterion for Explosion 19 6.2 The Criterion for Non-Explosion 19 6.3 Numerical Results under Explosion Conditions 20 6.4 Numerical Results under Non-Explosion Conditions 21 Chapter 7 GJR-GARCH 23 7.1 The Criterion for Explosion 23 7.2 The Criterion for Non-Explosion 24 7.3 Numerical Results under Explosion Conditions 24 7.4 Numerical Results under Non-Explosion Conditions 25 Chapter 8 TS-GARCH 27 8.1 The Criterion for Explosion 27 8.2 The Criterion for Non-Explosion 28 8.3 Numerical Results under Explosion Conditions 30 8.4 Numerical Results under Non-Explosion Conditions 31 Chapter 9 TGARCH 32 9.1 The Criterion for Explosion 32 9.2 The Criterion for Non-Explosion 33 9.3 Numerical Results under Explosion Conditions 33 9.4 Numerical Results under Non-Explosion Conditions 34 Chapter 10 The Heston-Nandi Model 36 10.1 The Criterion for Explosion 36 10.2 The Criterion for Non-Explosion 38 10.3 Numerical Results under Explosion Conditions 40 10.4 Numerical Results under Non-Explosion Conditions 42 Chapter 11 VGARCH 45 11.1 The Criterion for Explosion 45 11.2 The Criterion for Non-Explosion 46 11.3 Numerical Results under Explosion Conditions 48 11.4 Numerical Results under Non-Explosion Conditions 50 Chapter 12 Conclusion 52 Bibliography 53 | |
| dc.language.iso | en | |
| dc.subject | 選擇權評價 | zh_TW |
| dc.subject | GARCH | zh_TW |
| dc.subject | 路徑相關 | zh_TW |
| dc.subject | 三元樹 | zh_TW |
| dc.title | GARCH選擇權評價模型之複雜性研究 | zh_TW |
| dc.title | The Complexity of GARCH Option Pricing Models | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時(Tian-Shyr Dai),金國興(Gow-Hsing King) | |
| dc.subject.keyword | GARCH,路徑相關,三元樹,選擇權評價, | zh_TW |
| dc.subject.keyword | GARCH,path dependency,trinomial tree,option pricing, | en |
| dc.relation.page | 53 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-01-12 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 資訊管理學研究所 | zh_TW |
| 顯示於系所單位： | 資訊管理學系 | |
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