應用結構轉換模型於雙變量選擇權定價;Bivariate Option Pricing under Regime-Swtiching Models

NCU Institutional Repository > 管理學院 > 財務金融學系 > 研究計畫 > Item 987654321/57619

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/57619

题名:	應用結構轉換模型於雙變量選擇權定價;Bivariate Option Pricing under Regime-Swtiching Models
作者:	黃鴻明
贡献者:	中央大學財務金融學系
关键词:	經濟學;選擇權定價;連結函數;蒙地卡羅模擬;Option Pricing;Copulas;Monte-Carlo Simulation
日期:	2009-09-01
上传时间:	2012-10-01 15:39:42 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	本文應用了雙變量結構轉換連結函數於雙變量選擇權的定價，本文主要檢視Ramchand and Susmel (1998) 所提出的結構轉換條件異質自我相關與Rodriguez (2007) 所提出的結構轉換混合連結函數於雙變量選擇權的應用。應用此兩種模型的目的在於捕捉金融資產波動度的條件異質自我相關與結構相依的性質。應用連結函數的目的在於捕捉金融資產間不同程度的相關性。於數值比較上，我們將利用蒙地卡羅模擬來比較在此兩種模型設定下的雙變量選擇權價格與一般封閉解下（也就是假設金融資產報酬呈多變量常態分配下）的選擇權價格以檢視可能的定價誤差。 ; This paper develops a method for pricing bivaraite contingent claims under bivariate Switching-Regime ARCH (Autoregressive Conditional Heteroskedasticity) (BSWARCH) of Ramchand and Susmel (1998) and Switching-Regime Mixed Copulas (SWMC) of Rodriguez (2007). SWARCH models the conditional volatility of individual asset as regime-switching ARCH process, and assumes correlation coefficient between two assets is regime dependent. Similarly, SWMC models that the dependence between two assets is governed by regime-dependent mixed copulas, which can model the asymmetric tail dependence between two asset's returns. As the association between the underlying assets may change over time, and follows a regime-switching pattern with asymmetric tail dependence, efficiently capturing these two stylized facts in bivariate option pricing model would be necessary to price bivariate contingent claims accurately. Our approaches will be illustrated with better-of-two-markets options (max option) by Monte-Carlo simulations. The numerical results will be compared with the results obtained from the close-form formula, e.g.: Johnson (1987). ; 研究期間 9808 ~ 9907
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
显示于类别:	[財務金融學系] 研究計畫

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	305	检视/开启

在NCUIR中所有的数据项都受到原著作权保护.

社群 sharing

数据加载中.....