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https://ah.lib.nccu.edu.tw/handle/140.119/76873| 題名: | 隨機波動度模型在外匯選擇權市場的應用 Application of Currency Option Markets in Stochastic Volatility Models |
作者: | 彭道鈞 Peng, Dao Jyun |
貢獻者: | 林士貴 彭道鈞 Peng, Dao Jyun |
關鍵詞: | 外匯選擇權評價 零息債券評價 跳躍擴散模型 隨機利率模型 隨機波動度模型 Heston模型 Vasicek模型 currency option pricing zero-coupon bond pricing jump-diffusion model stochastic interest rates model stochastic volatility model Heston model Vasicek model |
日期: | 2015 | 上傳時間: | 27-Jul-2015 | 摘要: | 本研究提出考慮跳躍擴散、隨機利率與隨機波動度的一般化外匯選擇權評價模型並推導零息債券及歐式選擇權之解析解。以歐元兌美元歐式匯率選擇權為實證資料，比較考慮不同因子的模型對市場價格的配適及預測能力。實證結果顯示，一般而言跳躍擴散(SJ)模型及隨機波動度(SV)模型相較於其他模型表現較佳。 This study provide a new generalized currency option pricing model with jump-diffusion, stochastic interest rates and stochastic volatility to deduce analytical solutions for the European option. By using euro-dollar (EURUSD) European exchange rate option as empirical data we compare how models with different factors reflect the calibration and prediction capabilities on market price. The empirical results shows that in general, jump-diffusion model and stochastic volatility model performed better compared to other models. |
參考文獻: | Ahlip, R., & Rutkowski, M. (2013). Pricing of Foreign Exchange Options under the Heston Stochastic Volatility Model and CIR Interest Rates. Quantitative Finance, 13(6).\nAmin, K. I., & Jarrow, R. A. (1991). Pricing Foreign Currency Options under Stochastic Interest Rates. Journal of International Money and Finance, 10(3).\nBakshi, G., Cao, C., & Chen, Z. (1997). Empirical Performance of Alternative Option Pricing Models. Journal of Finance, 52(2).\nBates, D. S. (1996). Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options. Review of Financial Studies, 9(1).\nBlack, F., & Scholes, M. S. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3).\nCox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2).\nEraker, B., Johannes, M., & Polson, N. (2003). The Impact of Jumps in Volatility and Returns. Journal of Finance, 58(3).\nGarman, M. B., & Kohlhagen, S. W. (1983). Foreign Currency Option Values. Journal of International Money and Finance, 2, pp. 231-237.\nLin, C.-H., Lin, S.-K., & Wu, A.-C. (2015). Foreign Exchange Option Pricing in the Currency Cycle with Jump Risks. Review of Quantitative Finance and Accounting, 44(4).\nHeston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2).\nMerton, R. C. (1973). Theory of Rational Option Pricing. Bell Journal of Economics, 4(1).\nMerton, R. C. (1976). Option Pricing when Underlying Stock Returns are Discontinuous. Journal of Financial Economics, 3(1-2).\nVasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2). | 描述: | 碩士 國立政治大學 金融研究所 102352006 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0102352006 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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| File | Size | Format | |
|---|---|---|---|
| 200601.pdf | 1.07 MB | Adobe PDF2 | View/Open |
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