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| 研究生： |
王家偉 Chia-Wei Wang |
|---|---|
| 論文名稱： |
隨機利率模型對於選擇權定價之影響 |
| 指導教授： |
周若珍
Rouh-Jane Chou |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
理學院 - 統計學研究所 Institute of Statistics |
| 論文出版年： | 2002 |
| 畢業學年度： | 90 |
| 語文別： | 中文 |
| 論文頁數： | 39 |
| 中文關鍵詞： | 選擇權 、隨機利率 、廣義自我迴歸條件異質變異模型 |
| 外文關鍵詞： | Options, Stochastic Interest Rate, GARCH |
| 相關次數： | 點閱：2 下載：0 |
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本文探討隨機利率模型在選擇權定價上的影響，即放鬆了Black and Scholes 選擇權定價模型中利率唯一已知常數的假設。在文獻上，Rabinovitch(1989)與Amin and Jarrow(1992)則加入了不同的隨機利率模型，而Rabinovitch模型在利率波動大時，與B-S有顯著的差異，Rindell也驗證出A-J模型修正了B-S模型中的時間偏誤。而Duan(1995)基於財務相關資料的波動常具有群聚性，建議採用廣義異質條件變異數模型(GARCH)，其結果修正了B-S模型於價外之偏誤。本篇研究將標的物之波動性與利率分別配適特定之模式，導出一選擇權評價模型，即以GARCH(1,1)配合均數復歸過程，用以建構出「廣義異質條件變異數之隨機利率選擇權評價模型」。並以台股指數選擇權與史坦普爾500指數選擇權之實際資料模擬出各種模式之理論值，用以比較加入隨機利率模式與未加入之選擇權評價模型之優劣。
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