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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 石百達(Pai-Ta Shih) | |
| dc.contributor.author | Ming-Hsien Lin | en |
| dc.contributor.author | 林明賢 | zh_TW |
| dc.date.accessioned | 2021-06-16T16:33:04Z | - |
| dc.date.available | 2013-01-16 | |
| dc.date.copyright | 2013-01-16 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-11-30 | |
| dc.identifier.citation | 1. Boyle, P. P. & Tian, Y. S., 1999. Pricing lookback and barrier options under the CEV process. The Journal of Financial and Quantitative Analysis 34, 241-264.
2. Broadie, M., Jain, A., 2008. Pricing and hedging volatility derivatives. The Journal of Derivatives 15, 7-24. 3. Carr, P., Lee, R. 2009. Volatility derivatives. The Annual Review of Finance Economics 1, 1-21. 4. Carr, P., Lewis, K., 2007. Corridor variance swaps. Risk 17, 67-72. 5. Carr, P., Madan, D., 2002. Towards a theory of volatility trading. In R. Jarrow (Ed.) Volatility, Risk Publications, 417–427. 6. Christoffersen, P., Heston, S., Jacobs, K., 2009. The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well. Management Science 55, 1914-1932. 7. Daigler, R. T., Rossi, L., 2006. A portfolio of stocks and volatility. The Journal of Investing 15, 99-106. 8. Duffie, D., Pan, J., Singleton, K., 2000. Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68, 1343-1376. 9. Eraker, B., Johannes, M., Polson, N., 2003. The impact of jumps in volatility and returns. The Journal of Finance 58, 1269-1300. 10. Grunbichler, A. & Longstaff, F. A., 1996. Valuing futures and options on volatility. Journal of Banking and Finance 20, 985-1001. 11. Heston, S. L., 1993. A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies 6, 327-343. 12. Li, C., 2010. Efficient valuation of options on VIX under Gatheral’s double log-normal stochastic volatility model: an asymptotic expansion approach. Working Paper, Departmant of Mathematics, Columbia University. 13. Lin, Y. N. & Chang, C. H., 2009. VIX option pricing. The Journal of Futures Markets 29, 523-543. 14. Liu, Q. ,2010. Optimal approximations of nonlinear payoffs in static replication. The Journal of Futures Markets 30, 1082-1099. 15. Szado, E., 2009. VIX futures and options- a case study of portfolio diversification during the 2008 financial crisis. 16. Whaley, R. E., 2000. The investor fear gauge. Journal of Portfolio Management, 26: 12-17. 17. Whaley, R. E.,2008. Understanding VIX. The Journal of Portfolio Management 35, 98-105. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/63291 | - |
| dc.description.abstract | 本文提出一個新的VIX 選擇權評價近似方法。此方法結合Fourier-Stieltjes 轉換與指數逼近法，因此可以使用於任何變異數仿射模型與任意VIX 衍生性金融商品其收益函數只與到期日之變異數有關。本論文以Heston 模型為例，並與二項樹方法做比較。數值結果顯示考慮精確度與計算時間下，此方法明顯有效。此近似方法使用一段指數逼近時，誤差為2%；使用兩段時使用指數時，誤差降至0.3%;三段指數時，誤差降至0.04%。此外，此近似方法可以使用在其他的衍生性金融商品。舉例來說，複合選擇權與百慕達選擇權皆可藉此定價。 | zh_TW |
| dc.description.abstract | This study provides a new method to price the VIX option approximately. This method combines Fourier-Stieltjes transform andexponential approximation, so it can be used in any volatility affine models and any VIX derivatives with payoff function which is just dependent on the terminal state. In this paper, we take Heston model as
example and compare this method with the binominal tree method. The numerical results show that this method is more efficient than the tree method when we consider the accuracy and computation time. The error is about 2% with just one exponential approximation, 0.3% with two exponents, and 0.04% with three exponents. More usefully, this method can be extended to other derivatives. For example, compound options and Bermuda options can be priced in this method. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T16:33:04Z (GMT). No. of bitstreams: 1 ntu-101-R98723061-1.pdf: 448799 bytes, checksum: 88fd3c986c4638fcb4fe494cc084a76e (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 致謝………………………………………………………………………………. i
中文摘要………………………………………………………………………… ii Abstract..…………………………………………………………………………. iii Contents…………………………………………………………………………… iv Chapter 1 Introduction………………..………………………………………. 1 Chapter 2 The valuation framework…………………………………………. 4 2.1 Stochastic volatility model……………………………………….. 4 2.2 VIX calculation…………………………………………………... 5 2.3 Asset pricing on affine model…………………………………..... 6 Chapter 3 VIX option valuation………………………………………………... 7 3.1 Pricing component options................................................................ 7 3.2 Exponential approximation……………………………...………… 9 3.3 Determining partition points……………………………………….. 12 Chapter 4 Numerical results……………………………………………….……. 14 Chapter 5 Further applications…………………………………………………. 16 5.1 Model generalization………………………………………………..16 5.2 Derivative generalization……………………………………………19 Chapter 6 Conclusion……………………………………………………………. 19 Reference…………………………………………………………………………… 21 Appendix.....................................................................................................................23 | |
| dc.language.iso | en | |
| dc.title | 變異數仿射模型下的VIX選擇權定價 | zh_TW |
| dc.title | VIX option pricing under volatility affine models | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王耀輝,黃鴻明(Yaw-Huei Jeffrey Wang) | |
| dc.subject.keyword | VIX選擇權,Fourier-Stieltjes 轉換,仿射模型, | zh_TW |
| dc.subject.keyword | VIX option,Fourier-Stieltjes transform,affine model, | en |
| dc.relation.page | 39 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-12-03 | |
| 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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