簡易檢索 / 詳目顯示
| 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：3 下載：0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
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。
Amin, K. and Jarrow, R. (1992): “Pricing Option on Risky Assets in a Stochastic Interest Rate Economy,” Mathematical Finance, 2, 217-237.
Black, F. and Scholes, M. (1973): “The Pricing Options and Corporate Liabilities,” The Journal of Political Economy, 81, 637-654.
Black, F. (1975): “Fact and Fantasy in the Use of Options,” Financial Analysts Journal, 31, 36-41, 61-72.
Bollerslev, T. (1986): “Generalized Autoregressive Conditional Heteroscedasticity,” Journal of Econometrics, 31, 307-327.
Duan, J. (1995): “The GARCH Option Pricing Model,” Mathematical Finance, 5, 13-32.
Duan, J. and Zhang, H. (2001): “Pricing Hang Seng Index options around the Asian financial crisis – A GARCH approach,” Journal of Banking & Finance, 25, 1989-2014.
Engle, R. (1982): “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50, 987-1008.
Gultekin, B., Rogalski, R. and Tinic, S. (1982): “Option Pricing Model Estimates: Some Empirical Results,” Financial Management, 11, 58-69.
Heath, D., Jarrow, R. and Morton, A. (1992): “Bond Pricing and Term Structure of Interest Rate: A New Methodology,” Econometrica, 60, 77-105.
Hull, J. (2000): “Options, Futures, and Other Derivatives,” 4th ed., Prentice Hall.
Kwok, Y. (1998): “Mathematical Models of Financial Derivatives,” Springer.
Merton, R. (1973): “Theory of Rational Option Pricing,” Bell Journal of Economics, 4, 141-183.
Rabinovitch, R. (1989): “Pricing Stock and Bond Options when Default-Rate is Stochastic,” Journal of Financial and Quantitative Analysis, 24, 447-457.
Rindell, K. (1995): “Pricing of index options when interest rates are stochastic: An empirical test,” Journal of Banking & Finance, 19, 785-802.
Vasicek, O. (1977): “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, 5, 177-188.
全文公開日期 本全文未授權公開 (校內網路)全文公開日期 本全文未授權公開 (校外網路)
全文公開日期 本全文未授權公開 (國家圖書館：臺灣博碩士論文系統)