金融選擇權的狀態價格密度:多個到期日和多個資產;State Price Densities for Financial Options over Multiple Maturities and with Multiple Underlying Assets

NCU Institutional Repository > 理學院 > 統計研究所 > 研究計畫 > Item 987654321/62884

請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/62884

題名:	金融選擇權的狀態價格密度:多個到期日和多個資產;State Price Densities for Financial Options over Multiple Maturities and with Multiple Underlying Assets
作者:	鄧惠文
貢獻者:	國立中央大學統計研究所
關鍵詞:	數學;統計學;財政（含金融;保險）
日期:	2013-12-01
上傳時間:	2014-03-17 14:08:48 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	研究期間：10208~10307;State price densities for financial options over multiple maturities and with multiple underlying assets The state price density (SPD) is the density function under the equivalent martingale for derivative pricing and is also known as the risk-neutral density. SPD is usually calibrated from frequently traded options, such as single-asset European options at a certain maturity, and can be used for pricing illiquid options, risk management, and so on. Current studies focus on the SPD estimation based on options having the same maturities. Little has been known about the SPD estimation using options over multiple maturities or options with multiple underlying assets. This research proposal aims at proposing efficient statistical method for these two cases. For the former case, we intend to generalize the random tree based on Teng (2010) , so that a unique tree can be calibrated using options over multiple maturities. For the latter case, we consider hierarchical Archimedean copulas (HAC) for dependence modeling among multiple assets. Particularly, we are interested in the structure learning of the HAC, because current methods remain dissatisfied.
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
顯示於類別:	[統計研究所] 研究計畫

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML	434	檢視/開啟

在NCUIR中所有的資料項目都受到原著作權保護.

社群 sharing

資料載入中.....