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Title: | 以不同模型對比特幣選擇權進行 Delta Hedge 之效果比較 The Performance of Delta Hedge Toward Bitcoin Options Among Different Models |
Authors: | 黃冠綸 Kuan-Lun Huang |
Advisor: | 李賢源 Shyan-Yuan Lee |
Keyword: | Heston 模型,比特幣,虛擬貨幣,選擇權,動態避險, Heston Model,Bitcoin,Crypto,Option,Dynamic Hedge, |
Publication Year : | 2022 |
Degree: | 碩士 |
Abstract: | 本文利用虛擬貨幣市場的實際資料,回測在 Black-Scholes-Merton Model (Black and Scholes, 1973), (Merton, 1973)、Heston Stochastic Volatility (Heston, 1993) 之模型框架下,對比特幣選擇權進行模型校準、並依校準結果進行 delta hedge的效果。本文發現與 Black Scholes Model 相比,以Heston model 進行 delta hedge,能夠在統計上顯著的降低所獲得淨現金流之變異數,同時淨現金流之期望值與 Black-Scholes 模型相比並沒有顯著的改變。 In this research, we back test delta hedge strategies under Black-Scholes-Merton Model (Black and Scholes, 1973), (Merton, 1973) and Heston Stochastic Volatility Model (Heston, 1993). with the real option data from Deribit. We find that comparing with Black-Scholes-Merton Model, using Heston model for delta hedge can significantly reduce the standard deviation of net cash flows, while mean of the net cash flows are insignificantly changed. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/83849 |
DOI: | 10.6342/NTU202201666 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 財務金融學系 |
Files in This Item:
File | Size | Format | |
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ntu-110-2.pdf Restricted Access | 1.18 MB | Adobe PDF |
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