| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 任紀為 | zh_TW |
| dc.creator (作者) | 任紀為 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 18-Sep-2009 13:41:54 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 13:41:54 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 13:41:54 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923550551 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35061 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 企業管理研究所 | zh_TW |
| dc.description (描述) | 92355055 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 在真實世界中，我們可以觀察到許多財務或經濟變數(股價、匯率、利率等)有時波動幅度非常微小，呈現相對穩定的狀態(Regime)；有時會由於政治因素或經濟環境的變動，突然一段期間呈現瘋狂震盪的狀態。針對這種現象，已有學者提出狀態轉換波動度模型(Regime Switching Volatility Model，簡稱RSV)來捕捉此一現象。本篇論文選擇每年交易金額非常龐大的外匯選擇權市場，以RSV模型為基礎，採用馬可夫鏈蒙地卡羅法 ( Markov Chain Monte Carlo，簡稱MCMC ) 中的吉普斯抽樣(Gibbs Sampling)法來估計RSV模型的參數，依此預測外匯選擇權在RSV模型下的價格。我們再將此價格與Black and Scholes(BS)法及實際市場交易的價格資料作比較，最後並提出笑狀波幅與隱含波動度平面的結果。結果顯示經由RSV模型與MCMC演算法所計算出來的選擇權價格確實優於傳統的BS方法，且能有效解釋波動率期間結構 (Volatility Term Structure) 與笑狀波幅 (Volatility Smile) 的現象，確實反應且捕捉到了市場上選擇權價格所應具備的特色。 | zh_TW |
| dc.description.tableofcontents | 目 錄 I圖目錄 III表目錄 V表目錄 V第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的與問題 2第三節 研究架構 3 4第一節 笑狀波幅、期間結構與隱含分配 4第二節 隨機波動率模型相關文獻 7第三節 貝氏選擇權評價相關文獻 11第三章 研究方法 13第一節 資料選取 13第二節 RSV模型建構 14第三節 馬可夫鏈蒙地卡羅法 18第四節 預測外匯選擇權的價格及演算法的建構 23第四章 結果分析 28第一節 Gibbs Sampling抽樣結果 28第二節 外匯選擇權價格模擬結果 30第三節 笑狀波幅與隱含波動度曲面 34第五章 結論與後續研究建議 35第一節 結論 35第二節 後續研究建議 37附錄 38參考文獻 62 | 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/#G0923550551 | en_US |
| dc.subject (關鍵詞) | 馬可夫鍵蒙地卡羅 | zh_TW |
| dc.subject (關鍵詞) | 狀態轉換波動 | zh_TW |
| dc.subject (關鍵詞) | 吉普斯抽樣 | zh_TW |
| dc.subject (關鍵詞) | 笑狀波幅 | zh_TW |
| dc.subject (關鍵詞) | Markov-chain Monte Carlo | en_US |
| dc.subject (關鍵詞) | Regime-switching volatility | en_US |
| dc.subject (關鍵詞) | Gibbs sampling | en_US |
| dc.subject (關鍵詞) | Volatility smile | en_US |
| dc.title (題名) | 外匯選擇權的定價－馬可夫鏈蒙地卡羅法(MCMC)之績效探討 | zh_TW |
| dc.type (資料類型) | thesis | en |
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