English  |  正體中文  |  简体中文  |  Items with full text/Total items : 66984/66984 (100%)
Visitors : 22923235      Online Users : 105
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version


    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/65380


    Title: 實際波動度模型下的VIX選擇權定價
    Authors: 歐丞剛;Ou,Cheng-gang
    Contributors: 財務金融學系
    Keywords: 日內報酬波動度;隨機波動度模型;Realize Volatility;Stochastic volatility model;HARGL model
    Date: 2014-07-29
    Issue Date: 2014-10-15 15:29:55 (UTC+8)
    Publisher: 國立中央大學
    Abstract: Corsi, Fusari, and Vecchia (2013)提出間斷的隨機波動度模型,Heterogeneous Autoregressive Gamma with Leverage (HARGL),此模型將市場的日內報酬波動度替代變數(Realize Volatility,RV)納入考量,並使用多因子過程來反應資料的長、中、短期的資訊,特別是在捕捉資料長記憶性的現象上,這是傳統方法上較無法被反應的部分。因此,本研究使用此模型來對VIX選擇權做定價,結果發現,在不考慮期間及價內外下, HARGL模型的定價效果都是優於GARCH模型,且此模型對於到期期間較長或深價內和深價外的選擇權定價效果更好。;In this paper, we use a discrete-time stochastic volatility option pricing model, Heterogeneous Autoregressive Gamma with Leverage (HARGL) model, which proposed by Corsi et al. (2013) to price the VIX options. This model uses the Realize Volatility (RV) as a proxy for the unobservable return volatility and proposes a both long-memory and multi-components process with a leverage effect. An empirical analysis of VIX index options illustrates that this model outperforms GARCH option pricing model, especially for longer expiration date, deep-in-the-money, and deep-out-of-the-money options.
    Appears in Collections:[財務金融研究所] 博碩士論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML388View/Open


    All items in NCUIR are protected by copyright, with all rights reserved.

    社群 sharing

    ::: Copyright National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback  - 隱私權政策聲明