金融選擇權的狀態價格密度:多個到期日和多個資產;State Price Densities for Financial Options over Multiple Maturities and with Multiple Underlying Assets

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/62884

Title:	金融選擇權的狀態價格密度:多個到期日和多個資產;State Price Densities for Financial Options over Multiple Maturities and with Multiple Underlying Assets
Authors:	鄧惠文
Contributors:	國立中央大學統計研究所
Keywords:	數學;統計學;財政（含金融;保險）
Date:	2013-12-01
Issue Date:	2014-03-17 14:08:48 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	研究期間：10208~10307;State price densities for financial options over multiple maturities and with multiple underlying assets The state price density (SPD) is the density function under the equivalent martingale for derivative pricing and is also known as the risk-neutral density. SPD is usually calibrated from frequently traded options, such as single-asset European options at a certain maturity, and can be used for pricing illiquid options, risk management, and so on. Current studies focus on the SPD estimation based on options having the same maturities. Little has been known about the SPD estimation using options over multiple maturities or options with multiple underlying assets. This research proposal aims at proposing efficient statistical method for these two cases. For the former case, we intend to generalize the random tree based on Teng (2010) , so that a unique tree can be calibrated using options over multiple maturities. For the latter case, we consider hierarchical Archimedean copulas (HAC) for dependence modeling among multiple assets. Particularly, we are interested in the structure learning of the HAC, because current methods remain dissatisfied.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Graduate Institute of Statistics] Research Project

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