請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9318完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王耀輝(Yaw-Huei Wang) | |
| dc.contributor.author | Ming-Han Yu | en |
| dc.contributor.author | 游明翰 | zh_TW |
| dc.date.accessioned | 2021-05-20T20:17:20Z | - |
| dc.date.available | 2009-07-14 | |
| dc.date.available | 2021-05-20T20:17:20Z | - |
| dc.date.copyright | 2009-07-14 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-02 | |
| dc.identifier.citation | Black, F., and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, The Journal of Political Economy, Vol. 81, Issue 3, 637 – 654.
Bollerslev, T., 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 31, 307 – 327 Bollerslev, T., 1990. Modelling the Coherence in Short-run Nominal Exchange Rates: a multivariate generalized ARCH model, Review of Economics and Statistics 72, 498 – 505. Bollerslev, T., and R. F. Engle and J. M. Wooldridge, 1988, A Capital Asset Pricing Model with Time-varying Covariances, Journal of Political Economy, Vol. 96, No. 11, 116 – 131. Boyer, B.H., M.S. Gibson, and M. Loretan, 1999, Pitfalls in Tests for Changes in Correlations, International Finance Fiscussion Pappers, No 597, Board of Governors of the Federal Reserve System, Washington, DC. Cherubini, U., E. Luciano, and W. Vecchiato, 2004, Copula Methods in Finance, John Wiley & Sons Ltd. Duan, J.C., 1995, The Garch Option Pricing Model, Mathematical Finance, Vol. 5, No. 1, 13 – 32. 40 Duan, J.C., 1996, A Unified Theory of Option Pricing under Stochastic Volatility - from GARCH to Diffusion, Unpublished manuscript, Hong Kong University of Science and Technology. Engle, R., 2002. Dynamic conditional correlation - a simple class of multivariate GARCH models, Journal of Business and Economic Statistics 20, 339 – 350. Engle, R., and K. Sheppard, 2001, Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH, NBER Working Paper 8554. Engle, R.F., and K. F. Kroner, 1995, Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 1995, 122 – 150. Goorbergh, R.W.J. van der, C. Genest, and B.J.M. Werker, 2005, Bivariate option pricing using dynamic copula models, Insurance: Mathematics and Economics 37, 101 – 114. Heston, S.L., and S. Nandi, 2000, A Closed-Form GARCH Option Valuation Model, The Review of Financial Studies, Vol. 13, No. 3, 585 – 625. Hsu, C.C., C.P. Tseng, and Y.H. Wang, 2008, Dynamic Hedging with Futures: A Copula-Based GARCH Model, The Journal of Futures Markets, Vol. 28, No. 11, 1095 – 1116. Joe, H., 1997, Multivariate Models and Dependence Concepts, Chapman and Hall, London. 41 Jondeau, E., and M. Rockinger, 2006, The Copula-GARCH model of conditional dependencies: An international stock market application, Journal of International Money and Finance 25, 827 – 853. Kole, E., K. Koedijk, and M. Verbeek, 2007, Selecting Copulas for Risk Management, Journal of Banking & Finance 31, 2405 – 2423. Kroner, K.F., and S. Claessens, 1991, Optimal dynamic hedging portfolios and the currency composition of external debt, Journal of International Money and Finance 10, 131 – 148. Kroner, K.F., and J. Sultan, 1991, Exchange rate volatility and time varying hedge ratios, In: Rhee, S.G., Chang, R.P. (Eds.), Pacific-Basin Capital Market Research, Vol. 2, 397 – 412. Lien, D., and Y.K. Tse, 1998, Hedging time-varying downside risk, Journal of Futures Markets 18, 705 – 722. Nelson, R.B., 1999, An Introduction to Copulas, Lecture Notes in Statistics No. 139, Springer, New York. Park, T.H., and L.N. Switzer, 1995, Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: a note, Journal of Futures Markets 15, 61 – 67. Patton, A.J., 2003, Modeling Asymmetric Exchange Rate Dependence, Discussion Paper 01 – 09, University of California, San Diego, CA. 42 Patton, A.J., 2004, On the Out-of-sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics 2, 130 – 168. Sklar A., 1959, Fonctions de répartition à n dimensions et leurs marges, Publications de l’Institut Statistique de l’Université de Paris 8, 229 – 231. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9318 | - |
| dc.description.abstract | 二元選擇權是由兩個標的資產所衍生出的選擇權，其價格會與兩個資產的變動與相依結構有很大的相關性。但由於其市場透明度不高，平常很難於公開市場觀察二元選擇權的價格。本篇論文將取三種市場上較廣為被交易的二元選擇權來評價，利用copula-GARCH模型來檢測在不同的邊際分配參數設定下，二元選擇權價格對copula函數選擇的敏感度。
我們的研究結果可整理為三大結論，首先，Frank copula模型常常會產生較其他copula模型差異較大之評價結果。第二點，二元彩虹選擇權的價格，對copula模型的選擇最為敏感。最後，copula-GARCH的二元選擇權評價模型中，對殘插值的分配設定會嚴重影響評價的結果。總結來說，相依結構的設定對二元選擇權的價格會產生顯著的影響，是在評價二元選擇權時不可被忽略的一環。 | zh_TW |
| dc.description.abstract | Bivariate option is the contingent claims derives from a pair of underlying assets. The underlying assets can be equity, commodities, foreign exchange rate, interest rate or any index with quotations. In this paper, we present a copula-GARCH model and the Monte Carlo simulation method base on the model. We examine the pricing result of three kinds of bivariate options - digital, rainbow and spread option, in many different cases and find that the choosing of pricing copula may cause a significant difference of the pricing result. Furthermore, the pricing result of rainbow option is most sensitive to the choosing of copulas in the three kinds of bivariate options. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-20T20:17:20Z (GMT). No. of bitstreams: 1 ntu-98-R96723059-1.pdf: 1263556 bytes, checksum: e7c80c31e02a5e2f746ae1713ee54b2b (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 摘要............................................................ i
Abstract........................................................ ii 1 Introduction.................................................. 1 2 Literature Review............................................. 3 3 Bivariate Options............................................. 7 4 Methodology................................................... 9 4.1 GARCH Model................................................. 9 4.2 Copulas Functions........................................... 11 4.3 Monte Carlo Simulation...................................... 13 5 Result Analysis............................................... 14 6 Conclusion.................................................... 37 References...................................................... 39 Appendix A. Common Bivariate Copula Functions................... 43 Appendix B. Kendall’s tau of each Copulas...................... 43 Appendix C. Inverse Function of Cu1() of each Copula Models..... 44 | |
| dc.language.iso | en | |
| dc.title | 相依結構對多資產選擇權定價之模擬分析 | zh_TW |
| dc.title | Bivariate Options Pricing with Copula-GARCH Model- Simulation Analysis | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 徐之強,何耕宇 | |
| dc.subject.keyword | 二元選擇權,多資產選擇權,相依結構, | zh_TW |
| dc.subject.keyword | Bivariate Option,Copula,Dependent Structure,GARCH,Monte Carlo, | en |
| dc.relation.page | 44 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2009-07-02 | |
| 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-98-1.pdf | 1.23 MB | Adobe PDF | 檢視/開啟 |
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。