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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/85353
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/85353


    Title: 隨機波動下的二元樹狀模型之探討
    Authors: 黃大展
    Contributors: 杜化宇
    黃大展
    Keywords: 隨機波動
    樹狀模型
    微笑曲線
    Stochastic Volatility
    Bivariate Tree Model
    Volatility Smile
    Date: 2001
    Issue Date: 2016-04-18 16:26:17 (UTC+8)
    Abstract: 自1980年代後期Hull & White、Wiggins、Johnson & Shanno等人相繼發表關於隨機波動度模型的文獻後,就有諸多的文獻對於在選擇權定價中考慮隨機波動度作更深入的分析與模型探討,然而關於隨機波動度的研究,在早期大多採用蒙地卡羅模擬法來分析選擇權的價格行為,但蒙地卡羅模擬法受限於運算效率不高與缺乏彈性,故在評價新奇選擇權,如美式選擇權、障礙選擇權時,並無法應用。故本文以Leisen(2000)的二元樹狀模型出發,探討在不同相關係數及參數設定下之各類選擇權的定價、避險參數及隱含波動度曲面模擬計算等主題。
    Reference: 一、中文部分
    1.江政憲,「波動性變動選擇權評價模型定價績效之實證比較」,銘傳大學金融研究所碩士論文,1999年6月。
    2.吳勉賢,「蒙地卡羅模擬法在動態隨機變異模型上的應用」,國立中正大學財務金融研究所碩士論文,2000年6月。
    3.許博翔,「隨機波動性下之障礙選擇權的評價分析」,國立中央大學財務管理研究所碩士論文,2000年6月。
    4.陳威光,選擇權-理論,實務與應用,2001年1月初版,智勝出版社。
    5.曹金泉,「隨機波動度下選擇權評價理論的應用-以台灣認購權證為例」,國立政治大學金融研究所碩士論文,1999年6月。
    6.傅信彰,「結合隨機波動性和跳躍過程之二項式選擇權定價模型」,國立中央大學財務管理研究所碩士論文,1999年6月。
    二、英文部分
    1.Amin, Kaushik and Robert Jarrow. “Pricing Options on Risky Assets in a Stochastic Interest Rate Economy.” Mathematical Finance, Vol. 2 (1992), pp. 217-237.
    2.Amin, Kaushik and Victor Ng. “Option Valuation with Systematic Stochastic Volatility.” Journal of Finance, Vol. 48 (1993), pp. 881-910.
    3.Bates, David. “Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutschemark options.” Review of Financial Studies, Vol. 9, (1996), pp. 69-108.
    4.Boyle, Phelim P. and Sok Hoon Lau. “Bumping Up Against the Barrier with the Binomial Method.” Journal of Derivative, Vol. 1, (1994), pp. 6-14.
    5.Chesney, M. and L. Scott. “Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model.” Journal of Financial and Quantitative Analysis, Vol. 24, No. 3 (1989), pp. 267-284.
    6.Duan, Jin-Chuan. “The GARCH Option Pricing Model.” Mathematical Finance, Vol. 5, No. 1 (1995), pp.13-32.
    7.Garman, Mark. “A General Theory of Asset Valuation Under Diffusion State Processes.” Working Paper No. 50, University of California, Berkley, 1976.
    8.Leisen, Dietmar P.J. “Stock Evolution under Stochastic Volatility: A Discrete Approach.” The Journal of Derivatives, Vol. 8, No. 2 (Winter 2000), pp. 9-27.
    9.Heston, Steven. “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” Review of Financial Studies, Vol. 6 (1993), pp. 327-343.
    10.Hilliard, J. E. and A. Schwartz. “Binomial Option Pricing under Stochastic Volatility and Correlated State Variables.” The Journal of Derivatives, Vol.4, No. 1 (1996), pp. 23-39.
    11.Hull, John and Alan White. "The Pricing of Options on Assets with Stochastic Volatilities." Journal of Finance, Vol. 42 (1987), pp. 281-300.
    12.Hull, John. Options, Futures, and Other Derivatives. 3th ed., N.J.:Prentice-Hall.
    13.Merton, R. C. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science, Vol. 4, No. 1 (1973), pp. 141-183.
    14.Nelson, D. B. and K. Ramaswamy. “Simple Binomial Processes as Diffusion Approximations in Financial Models.” The Review of Financial Studies, Vol. 3 (1990), pp. 393-430.
    15.Reiner, E. and M. Rubinstein. “Breaking Down the Barriers.” Risk, Vol. 4, No. 8 (1991), pp. 28-35.
    16.Ritchken, Peter and Rob Trevor. “Pricing Options under Generalized GARCH and Stochastic Volatility Processes.” Journal of Finance, Vol. 54, No. 1 (1999), pp. 377-402.
    17.Ritchken, Peter, “On Pricing Barrier Option.” The Journal of Derivatives, Vol.3 (Winter 1996 ), pp. 19-28.
    18.Stein, E. M. and J. C. Stein. “Stock Price Distributions with Stochastic Stochastic Volatility: An Analytic Approach.” The Review of Financial Studies, Vol. 4 (1991), pp. 727-752.
    19.Wiggins, J.B. “Option Values under Stochastic Volatility: Theory and Empirical Evidence.” Journal of Financial Economics, Vol. 19 (1987), pp. 351-372.
    Description: 碩士
    國立政治大學
    財務管理研究所
    88357020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001563
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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