請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/78206完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
| dc.contributor.author | Yu-Ping Lin | en |
| dc.contributor.author | 林祐平 | zh_TW |
| dc.date.accessioned | 2021-07-11T14:45:56Z | - |
| dc.date.available | 2021-10-14 | |
| dc.date.copyright | 2016-10-14 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-07-19 | |
| dc.identifier.citation | Abken, P. A. (1995). Osing eurodollar futures options: Gauging the market’s view of interest rate movements. Technical report, Federal Reserve Bank of St. Louis.
Aït-Sahalia, Y. and J. Duarteb (2003). Nonparametric option pricing under shape restrictions. Journal of Econometrics. Bahra, B. (1997). Implied risk-neutral probability density function from option prices: theory and applications. Bank of England. Black, F. (1976). The pricing of commodity contracts. Journal of Financial Economics. Bliss, R. R. and N. Panigirtzoglou (2002). Testing the stability of implied probability density functions. The Journal of Banking & Finance. Breeden, D. T. and R. H. Litzenberger (1978). Prices of state-contingent claims implicit in option prices. The Journal of Business. Cooper, N. (1999). Testing techniques for estimating implied rnds from the prices of European-style options. Bank of England. Cox, J. C. and S. A. Ross (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics. Datta, D. D., J. M. Londono, and L. J. Ross (2014). Generating options-implied probability densities to understand oil market events. Board of Governors of the Federal Reserve System. de Vincent-Humphreys, R. and J. M. P. Gutiérrez (2010). A quantitative mirror on the Euribor market using implied probability density functions. In ECB. He, X. and P. Ng (1999). Cobs: Qualitatively constrained smoothing via linear programming. Computational Statistics. Jackwerth, J. C. and M. Rubinstein (1996). Recovering probability distributions from option prices. The Journal of Finance. Lao, J. (2016). Fed Funds Futures Probability Tree Calculator. CME. Malz, A. M. (2014). A simple and reliable way to compute option-based risk-neutral distributions. Technical report, Federal Reserve Bank of New York. Manus, D. J. M. (1999). The information content of interest rate futures options. Bank of Canada. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/78206 | - |
| dc.description.abstract | 本文展示數種方法，如何從金融資產價格中推導出市場隱含的風險
中立機率。我們選擇聯邦利率期貨與歐洲美元選擇權進行研究，又因 兩者都與美國利率有直間關係，我們認為兩個市場應彼此連結在一起， 不會脫鉤。為了證明我們的想法，我們進行事件研究，研究訊息是如 何影響市場對2016 年底的利率的看法。藉由5/19/2016 與6/6/2016 兩 天的資料，我們可以推導出市場對遠期利率在風險中立下的機率分布， 進而證實我們的想法，即是無論從哪個市場出發都能得到一致的結論。 因此，本文展示的方法的確合理且有效。 | zh_TW |
| dc.description.abstract | This article shows the methodology of extracting risk-neutral probability
density distributions (denote RNDs) from two financial instruments, the Fed Fund futures and the options on Eurodollar futures. Since both of them are related to U.S. interest rate, we believe they share same properties. To confirm this idea, we do the event study for how the information impacting the expected forward rate in the end of 2016. We derived RNDs from the data in 5/19/2016 and 6/6/2016. The influences of the impact are similar in all of the results. In conclusion, the Fed fund futures market and options on Eurodollar futures are consistent with each other. Therefore, it shows the methods are reasonable and reliable. | en |
| dc.description.provenance | Made available in DSpace on 2021-07-11T14:45:56Z (GMT). No. of bitstreams: 1 ntu-105-R03723070-1.pdf: 5961164 bytes, checksum: 28ef27de0d2eb1d43ce9afc43d991342 (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | Contents
Acknowledgments i Abstract ii Abstract iii Contents iv List of Figures vi List of Tables vii 1 Introduction 1 2 The Data 4 2.1 Fed Fund Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 Options on 3-month Eurodollar Futures . . . . . . . . . . . . . . . . . . 6 3 Methodology 9 3.1 Estimating Implied RNDs from Futures Prices . . . . . . . . . . . . . . . 9 3.2 Estimating Implied RNDs from Options Prices . . . . . . . . . . . . . . 10 3.2.1 Parametric Methods . . . . . . . . . . . . . . . . . . . . . . . . 11 3.2.2 Non-Parametric Methods . . . . . . . . . . . . . . . . . . . . . . 13 4 Empirical Results 15 4.1 Implied RNDs derived from futures prices . . . . . . . . . . . . . . . . . 15 4.2 Implied RNDs derived from options prices . . . . . . . . . . . . . . . . . 17 4.2.1 Results of Parametric Methods . . . . . . . . . . . . . . . . . . . 17 4.2.2 Results of Non-Parametric Methods . . . . . . . . . . . . . . . . 20 5 Conclusion 31 Bibliography 32 | |
| dc.language.iso | en | |
| dc.subject | 參數法 | zh_TW |
| dc.subject | 歐洲美元選擇權 | zh_TW |
| dc.subject | 聯邦利率期貨 | zh_TW |
| dc.subject | 利率選擇權 | zh_TW |
| dc.subject | 無母數法 | zh_TW |
| dc.subject | 風險中立機率 | zh_TW |
| dc.subject | Fed Fund futures | en |
| dc.subject | Eurodollar Options | en |
| dc.subject | Parametric | en |
| dc.subject | Non-Parametric | en |
| dc.subject | Risk Neutral Probability | en |
| dc.subject | Interest Options | en |
| dc.title | 從選擇權價格萃取風險中立下的機率分佈 | zh_TW |
| dc.title | Extracting Risk-Neutral Distributions from Options Prices | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 葉小蓁,蔡偉澎 | |
| dc.subject.keyword | 歐洲美元選擇權,聯邦利率期貨,利率選擇權,無母數法,參數法,風險中立機率, | zh_TW |
| dc.subject.keyword | Eurodollar Options,Fed Fund futures,Interest Options,Non-Parametric,Parametric,Risk Neutral Probability, | en |
| dc.relation.page | 33 | |
| dc.identifier.doi | 10.6342/NTU201600973 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-07-19 | |
| 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 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-105-R03723070-1.pdf 未授權公開取用 | 5.82 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。