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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 11:23:52 (UTC+8) 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).Amin, K. I., & Jarrow, R. A. (1991). Pricing Foreign Currency Options under Stochastic Interest Rates. Journal of International Money and Finance, 10(3).Bakshi, G., Cao, C., & Chen, Z. (1997). Empirical Performance of Alternative Option Pricing Models. Journal of Finance, 52(2).Bates, D. S. (1996). Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options. Review of Financial Studies, 9(1).Black, F., & Scholes, M. S. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3).Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2).Eraker, B., Johannes, M., & Polson, N. (2003). The Impact of Jumps in Volatility and Returns. Journal of Finance, 58(3).Garman, M. B., & Kohlhagen, S. W. (1983). Foreign Currency Option Values. Journal of International Money and Finance, 2, pp. 231-237.Lin, 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).Heston, 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).Merton, R. C. (1973). Theory of Rational Option Pricing. Bell Journal of Economics, 4(1).Merton, R. C. (1976). Option Pricing when Underlying Stock Returns are Discontinuous. Journal of Financial Economics, 3(1-2).Vasicek, 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 dc.contributor.advisor 林士貴 zh_TW dc.contributor.author (Authors) 彭道鈞 zh_TW dc.contributor.author (Authors) Peng, Dao Jyun en_US dc.creator (作者) 彭道鈞 zh_TW dc.creator (作者) Peng, Dao Jyun en_US dc.date (日期) 2015 en_US dc.date.accessioned 27-Jul-2015 11:23:52 (UTC+8) - dc.date.available 27-Jul-2015 11:23:52 (UTC+8) - dc.date.issued (上傳時間) 27-Jul-2015 11:23:52 (UTC+8) - dc.identifier (Other Identifiers) G0102352006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76873 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 102352006 zh_TW dc.description.abstract (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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 1第二章 文獻探討 4第三章 外匯選擇權定價模型 7第一節 利率模型與零息債券(ZERO COUPON BOND)定價 7第二節 匯率模型與歐式選擇權(EUROPEAN OPTION)定價 9第四章 實證分析 13第一節 資料說明 13第二節 模型參數校估(CALIBRATION) 15第三節 樣本內(IN-SAMPLE)配適表現 18第四節 樣本外(OUT-SAMPLE)預測表現 19第五章 結論 21附錄 22第一節 零息債券定價 22第二節 歐式選擇權定價 24第三節 單因子模型與一般化模型參數設定 32參考文獻 33 zh_TW dc.format.extent 1093665 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352006 en_US dc.subject (關鍵詞) 外匯選擇權評價 zh_TW dc.subject (關鍵詞) 零息債券評價 zh_TW dc.subject (關鍵詞) 跳躍擴散模型 zh_TW dc.subject (關鍵詞) 隨機利率模型 zh_TW dc.subject (關鍵詞) 隨機波動度模型 zh_TW dc.subject (關鍵詞) Heston模型 zh_TW dc.subject (關鍵詞) Vasicek模型 zh_TW dc.subject (關鍵詞) currency option pricing en_US dc.subject (關鍵詞) zero-coupon bond pricing en_US dc.subject (關鍵詞) jump-diffusion model en_US dc.subject (關鍵詞) stochastic interest rates model en_US dc.subject (關鍵詞) stochastic volatility model en_US dc.subject (關鍵詞) Heston model en_US dc.subject (關鍵詞) Vasicek model en_US dc.title (題名) 隨機波動度模型在外匯選擇權市場的應用 zh_TW dc.title (題名) Application of Currency Option Markets in Stochastic Volatility Models en_US dc.type (資料類型) thesis en dc.relation.reference (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).Amin, K. I., & Jarrow, R. A. (1991). Pricing Foreign Currency Options under Stochastic Interest Rates. Journal of International Money and Finance, 10(3).Bakshi, G., Cao, C., & Chen, Z. (1997). Empirical Performance of Alternative Option Pricing Models. Journal of Finance, 52(2).Bates, D. S. (1996). Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options. Review of Financial Studies, 9(1).Black, F., & Scholes, M. S. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3).Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2).Eraker, B., Johannes, M., & Polson, N. (2003). The Impact of Jumps in Volatility and Returns. Journal of Finance, 58(3).Garman, M. B., & Kohlhagen, S. W. (1983). Foreign Currency Option Values. Journal of International Money and Finance, 2, pp. 231-237.Lin, 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).Heston, 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).Merton, R. C. (1973). Theory of Rational Option Pricing. Bell Journal of Economics, 4(1).Merton, R. C. (1976). Option Pricing when Underlying Stock Returns are Discontinuous. Journal of Financial Economics, 3(1-2).Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2). zh_TW
