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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34172
Title: | 使用隱含二元樹方法評價台指選擇權 Implied Binomial Tree Method for Pricing TAITEX Options |
Authors: | Hsun-Cheng Chan 詹勳政 |
Advisor: | 呂育道 |
Keyword: | 隱含二元樹,二元樹,微笑現象,隱含波動率, implied binomial tree,binomial tree,smile,implied volatility, |
Publication Year : | 2006 |
Degree: | 碩士 |
Abstract: | 從市場可以觀察到的選擇權來建構一個樹使得其可以符合市場上的微笑現象對評價來說非常重要。我們採用Barle 和 Cakici 在1998年提出的隱含二元樹,此模型修改了一些Derman和Kani在1994年提出的隱含二元樹的特徵,我門將此模型用來評價臺灣股票加權指數選擇權,其中臺指選擇權是屬於歐式選擇權。由於隱含二元樹可以在不同的到期日和執行價格符合其隱含波動率,因此可以幫助我們評價其它的新奇選擇權或是路徑相關選擇權。根據這些特性,用此模型評價出衍生性金融商品的價格會和市場的報價較一致。所以,結果顯示用此種樹模型來幫助我們評價一些新的衍生性金融商品是非常實用且市場導向的。 ABSTRACT Building a recombining tree consistent with the volatility smile from observed options in the market is important for pricing. We adopts Barle and Cakici’s (1998) implied tree that modifies some features in Derman and Kani’s (1994) and use it to price TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) options, which are European options. Then one can price other exotic or path-dependant options by using implied binomial trees which satisfy implied volatilities under different maturities and strike prices. With this feature, the prices of derivatives will be more consistent with market quotes. Therefore, the result is a very practical and market-oriented tree model that helps us price new derivatives. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34172 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 資訊工程學系 |
Files in This Item:
File | Size | Format | |
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ntu-95-1.pdf Restricted Access | 1.06 MB | Adobe PDF |
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