| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.advisor | Chen, Son Nan | en_US |
| dc.contributor.author (作者) | 林豪勵 | zh_TW |
| dc.contributor.author (作者) | Lin, Hao Li | en_US |
| dc.creator (作者) | 林豪勵 | zh_TW |
| dc.creator (作者) | Lin, Hao Li | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 17-九月-2009 13:49:09 (UTC+8) | - |
| dc.date.available | 17-九月-2009 13:49:09 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 13:49:09 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0095751004 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32597 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學研究所 | zh_TW |
| dc.description (描述) | 95751004 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | Brigo與Mercurio提出了三種新的資產價格過程，分別是位移CEV過程、位移對數常態過程與混合對數常態過程。在這三種過程中，資產價格的波動度不再是一個固定的常數，而是時間與資產價格的明確函數。而由這三種過程所推導出來的歐式選擇權評價公式，將會導致隱含波動度曲線呈現傾斜曲線或是微笑曲線，且提供了參數讓我們能夠配適市場的波動度結構。本文利用台指買權來實證Brigo與Mercurio所提出的三種歐式選擇權評價公式，我們發現校準結果以混合對數常態過程優於位移CEV過程，而位移CEV過程則稍優於位移對數常態過程。因此，在實務校準時，我們建議以混合對數常態過程為台指買權的評價模型，以達到較佳的校準結果。 | zh_TW |
| dc.description.abstract (摘要) | Brigo and Mercurio proposed three types of asset-price dynamics which are shifted-CEV process, shifted-lognormal process and mixture-of-lognormals process respectively. In these three processes, the volatility of the asset price is no more a constant but a deterministic function of time and asset price. The European option pricing formulas derived from these three processes lead respectively to skew and smile in the term structure of implied volatilities. Also, the pricing formula provides several parameters for fitting the market volatility term structure. The thesis applies Taiwan’s call option to verifying these three pricing formulas proposed by Brigo and Mercurio. We find that the calibration result of mixture-of-lognormals process is better than the result of shifted-CEV process and the calibration result of shifted-CEV process is a little better than the result of shifted-lognormal process. Therefore, we recommend applying the pricing formula derived from mixture-of-lognormals process to getting a better calibration. | en_US |
| dc.description.tableofcontents | 摘要 iABSTRACT ii目錄 iii表目錄 iv圖目錄 v第一章 緒論 1 1.1 研究動機與目的 1 1.2 論文架構 3第二章 文獻回顧 3 2.1 BLACK與SCHOLES之歐式選擇權平價公式 4 2.2 COX與ROSS之歐式選擇權平價公式 6 2.3 BRIGO與MERCURIO之位移過程評價方法 9 2.4 RUBINSTEIN之還原測度評價方法 12 2.5 BRIGO與MERCURIO之混合過程評價方法 13第三章 主要理論介紹 15 3.1 取代資產價格過程 15 3.1.1 明確係數下的位移CEV過程 17 3.1.2 位移對數常態過程 18 3.2 一般化混合動態過程 20 3.2.1 混合對數常態過程 23第四章 實證研究 26 4.1 位移CEV過程校準結果 26 4.2 位移對數常態過程校準結果 31 4.3 混合對數常態過程校準結果 35 4.4 實證結果分析 40第五章 結論 43參考文獻 44 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095751004 | en_US |
| dc.subject (關鍵詞) | 資產價格的動態過程 | zh_TW |
| dc.subject (關鍵詞) | 風險中立機率測度 | zh_TW |
| dc.subject (關鍵詞) | 選擇權評價公式 | zh_TW |
| dc.subject (關鍵詞) | 波動度傾斜 | zh_TW |
| dc.subject (關鍵詞) | 波動度微笑 | zh_TW |
| dc.subject (關鍵詞) | 非線性規劃 | zh_TW |
| dc.subject (關鍵詞) | 參數校準 | zh_TW |
| dc.subject (關鍵詞) | asset-price dynamics | en_US |
| dc.subject (關鍵詞) | risk-neutral density | en_US |
| dc.subject (關鍵詞) | option pricing formula | en_US |
| dc.subject (關鍵詞) | volatility skew | en_US |
| dc.subject (關鍵詞) | volatility smile | en_US |
| dc.subject (關鍵詞) | nonlinear programming | en_US |
| dc.subject (關鍵詞) | calibration of parameters | en_US |
| dc.title (題名) | 位移與混合型離散過程對波動度模型之解析與實證 | zh_TW |
| dc.title (題名) | Displaced and Mixture Diffusions for Analytically-Tractable Smile Models | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Black, F. and Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, pp. 637–654. | zh_TW |
| dc.relation.reference (參考文獻) | Brigo, D. and Mercurio, F., D. 2001. Displaced and mixture diffusions for analytically-tractable smile models. In: German, H., Madan, D.B., Pliska, S.R. and Vorst, A.C.F., Editors, 2001. Mathematical Finance Bachelier Congress 2000, Springer, Berlin. | zh_TW |
| dc.relation.reference (參考文獻) | Brigo, D. and Mercurio, F., 2002. Lognormal-mixture dynamics and calibration to market volatility smiles. International Journal of Theoretical and Applied Finance 5 4, pp. 427–446 | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J., 1975. Notes on option pricing I: Constant elasticity of variance diffusions. Working paper, Stanford University. | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J. C. and Ross, S. A., 1976. The valuation of options for alternative stochastic processes. Journal of Financial Economics 3, pp. 145–166. | zh_TW |
| dc.relation.reference (參考文獻) | Jackwerth, J. C. and Rubinstein, M., 1996. Recovering probability distributions from option prices. Journal of Finance 51, pp. 1611–1631. | zh_TW |
| dc.relation.reference (參考文獻) | Rubinstein, M., 1994. Implied binomial trees. Journal of Finance 49, pp. 771–818. | zh_TW |
