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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 蘇永成(Yong-Chern Su) | |
dc.contributor.author | Kai-Ming Cheng | en |
dc.contributor.author | 鄭開明 | zh_TW |
dc.date.accessioned | 2021-06-13T15:52:27Z | - |
dc.date.available | 2008-07-03 | |
dc.date.copyright | 2008-07-03 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-06-24 | |
dc.identifier.citation | 1. Amin, K. and V. Ng, 1993, “ARCH Processes and Option Valuation,” working paper, University of Michigan.
2. Avramidis, A. and P. Hyden, 1999, “Efficiency improvements for pricing American options with a stochastic mesh.” Winter Simulation Conference 1999. 344-350. 3. Bates, D., 2003, “Empirical option pricing: a retrospection,” Journal of Econometrics, 116. 387-404. 4. Black, K. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81. 637-659. 5. Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31. 307-327. 6. Boyle, P., Kolkiewicz A. and Tan K. S., 2003, “An improved simulation method for pricing high-dimensional American derivatives,” Mathematics and Computers Simulation, 62. 315-322. 7. Broadie, M. and P. Glasserman, 1997, “A Continuity Correction for Discrete Barrier Options,” Mathematical Finance, 7. 325-348. 8. Christoffersen, P., S. Heston, and K. Jacobs, 2003, “Option Valuation with Conditional Skewness,” Journal of Econometrics. 9. Christoffersen, P. and K. Jacobs, 2001, “The Importance of the Loss Function in Option Pricing,” working paper. 10. Christoffersen P., and K. Jacobs, 2004, “Which GARCH Model for Option Valuation?” Management Science, 50, No9, 1204-1221. 11. Cox, J., J. Ingersoll and S. Ross, 1985, “A Theory of the Term Structure of Interest Rates,” Econometrica, 53. 385-407. 12. Duan J., 1995, “The GARCH Option Pricing Model,” Mathematical Finance,5 , 13-32. 13. Duan, J., G. Gauthier, and J. Simonato, 1999, “An Analytical Approximation for the GARCH Option Pricing Model.” Journal of Computational Finance, 2, 75-116. 14. Dumas, B., J. Fleming, and R. Whaley, 1998, “Implied Volatility Functions: Empirical Tests,” Journal of Finance, 53, 2059-2106. 15. Engle, R., 1982 “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50, No.4, 987-1008. 16. Engle, R., and C. Mustafa, 1992, “Implied ARCH Models from Options Prices,” Journal of Econometrics, 52, 289-311. 17. Fahlenbrach, R. and P. Sandas, 2003, “Bid-Ask Spreads and Inventory Risk: Evidence from the FTSE 100 Index Options Market”, working paper. 18. Fama, E., 1965, “The Behavior of Stock Market Prices,” Journal of Business, 34-105. 19. Geske, R., 1979, “The valuation of compound options,” Journal of Financial Economics, 7. 63-81. 20. Hanke, M., 1997, “Neural Newwork Approximation of Option-pricing Formulas for Analytically Intractable Option-pricing Models,” Journal of Computational Intelligence in Finance, 1(5). 20-27. 21. Haugh, M. and L. Kogan, 2001, “Pricing American Options: A Duality Approach,” working paper, MIT. 22. Hentschel, L., 1995, “All in the family Nesting symmetric and asymmetric GARCH models,” Journal of Financial Economics, 39, 71-104. 23. Heston, S., 1993, “A Closed-Form Solution for Options with Stochastic Volatility with Application to Bond and Currency Options,” The Review of Financial Studies, 6, No.2 , 327-343. 24. Heston, S. and S. Nandi, 2000, “A Closed-Form GARCH Option Valuation Model,” Review of Financial Studies, 13, 585, 625. 25. Hsieh., K. C. and P. Ritchken, 2000, “An Empirical Comparison of GARCH Option Pricing Models” working paper. 26. Jones, C., 2003, “The dynamics of stochastic volatility: evidence from underlying and option markets”, 116. 181-224. 27. La, J. and Lemieux, C., 2005, “A Study of Variance Reduction Techniques for American Option Pricing,” Winter Simulation Conference 2005. 28. Longstaff, F. and E. Schwartz, 2001, “Valuing American Options by Simulation: A Simple Least-Squares Approach,” Review of Financial Studies 14. 307-311. 29. Mandelbrot, B., 1966, “Forecasts of Future Prices, Unbiased Markets and Martingale Models,” Journal of Business, 39. 242-255. 30. Merton, R., 1973, “The Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, 4. 141-183. 31. Nelson, D.B., 1990, “ARCH models as diffusion approximations,” Journal of Econometrics, 45. 7-38. 32. Ritchken, P. and R. Trevor, 1999, “Pricing Options under Generalized GARCH and Stochastic Volatility Processes,” Journal of Finance, 54, 1, 377-402. 33. Rubenstein, M., 1983, “Displaced diffusion option pricing,” Journal of Finance, 38. 203-217. 34. Su, Y.C and Fung, 2004, “An application of Closed-Form GARCH Option Pricing Model to TAIEX Options and Volatilities,” unpublished Master thesis, NTU. 35.Su, Y.C. and Chen, 2006, “An Application of Closed-Form GARCH Option Pricing Model to FTSE 100 Options and Volatilities,” unpublished Master thesis, NTU. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37942 | - |
dc.description.abstract | 許多實證的研究都顯示Black-Scholes的選擇權定價模型會因為一些不正確的假設而存有系統性的誤差. 在實際上的應用來說, Black-Scholes的隱含波動性會隨著選擇權的價內和價外(moneyness)和距離到期日時間長短而改變. 為了解決這個問題, 許多研究學者都努力研發出新的選擇權定價模型. 在這份論文裡, 探討的是Heston和Nandi的GARCH模型對於AMEX選擇權市場的定價有效度. 這份論文一共採樣了十二家公司並依照它們的流動性(由交易量來代表), 資本額, 和本益比來加以區分. 然後, 依照不同的分類, 對這些公司進行MLE的分析. 雖然HN GARCH整體來說的估計比較準確, 它特別不適合對於那些資本額比較小的公司進行選擇權定價, 而且它對於低本益比的公司也會有比較明顯的選擇權價錢低估. 不過, 對於那些流動性比較差的公司, 也就是說它們的選擇權其實實質上比較像是歐式選擇權的那些公司, 它的估計就相當值得參考. | zh_TW |
dc.description.abstract | Many empirical researches have indicated that the Black-Scholes option pricing model demonstrate systematic biases due to some unreasonable assumptions. In practice, Black-Scholes implied volatilities tend to vary depending on moneyness and time to maturities. In response to this problem, many researchers have devoted themselves to creating new option pricing models. In this paper, the pricing efficiency of Heston and Nandi GARCH (HN GARCH) model is examined on the AMEX option market. A total of twelve companies are sampled and classified by liquidity (trade volume), market capitalization, and P/E ratio. Analyses are then carried out using the MLE method on different categories of companies. It is found that, while HN GARCH model has smaller valuation errors overall, they appear to be ill-suited for valuation of small market capitalization companies and display notable underpricing for options of low P/E ratio companies. They do, however, do a good job modeling the option prices of lower liquidity companies, whose options are much more European in practice. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T15:52:27Z (GMT). No. of bitstreams: 1 ntu-97-R95723054-1.pdf: 716280 bytes, checksum: be390625f61c10740044298176df3c1e (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | 口試委員會審定書…………………………………………………………………i
序言………………………………………………………………ii 中文摘要…………………………………………………………iii 英文摘要Abstract………………………………………………iv 1. Introduction…………………………………………1 2. Data and Methodology………………………………7 2.1 Options Introduction………………………………7 2.2 AMEX Overview………………………………………10 2.3 Data Description……………………………………12 2.4 The Model……………………………………………16 3. Empirical Results…………………………………23 3.1 Estimation……………………………………………23 3.2 In-sample Estimation………………………………26 3.3 Out-of-sample Comparison…………………………27 4. Conclusions…………………………………………31 References………………………………………………………33 | |
dc.language.iso | en | |
dc.title | 流動性對於GARCH選擇權評價的影響 | zh_TW |
dc.title | Liquidity on GARCH Option Pricing | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 王耀輝(Yaw-Huei Wang) | |
dc.contributor.oralexamcommittee | 林丙輝,黃漢青 | |
dc.subject.keyword | Black-Scholes選擇權定價模型,HN GARCH模型,AMEX選擇權市場,MLE分析,流動性, | zh_TW |
dc.subject.keyword | Black-Scholes option pricing model,HN GARCH model,AMEX option market,MLE method,Liquidity, | en |
dc.relation.page | 69 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2008-06-24 | |
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 |
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