選擇權資料對EGARCH模型參數估計之影響; The influence of option data on parameter estimate under EGARCH model

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/7747

Title:	選擇權資料對EGARCH模型參數估計之影響;The influence of option data on parameter estimate under EGARCH model
Authors:	陳建文;Chien-wen Chen
Contributors:	統計研究所
Keywords:	槓桿效應;不對稱效應;波動;Black-Scholes模型;EGARCH模型;Leverage effect;Volatility;Asymmetric effect;Black-Scholes model;EGARCH model
Date:	2009-06-01
Issue Date:	2009-09-22 11:03:58 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	選擇權在財務金融中儼然已經是一個重要的衍生性商品。一般而言，選擇權與波動率間有著高度的相關性，因此本文在Duan (1995)所提出的GARCH選擇權評價模型建構下，修改成能夠描述不對稱現象的EGARCH模型，使其選擇權評價模型更具彈性。除此之外，擁有更多對母體參數有關的資訊，往往可以增加對參數估計的精確與改良，於是，吾人試圖透過兩種引進選擇權資料的方式，來探討參數估計是否具有更佳的漸進估計結果。然而，從模擬的結果中可以發現，在EGARCH模型中引入選擇權資料，對於參數估計上僅有些許的幫助。 In the financial finance, options has become an important derivatives. In general, options are highly informative about volatility. Based on the Duan (1995) who proposed the GARCH option pricing model, modified to the EGARCH model which can describe the asymmetry effect, so that the option pricing model will more flexible. In addition, the more information about the population we have, the more precision can be increased on parameter estimation. Therefore, we attempt to introduce options through two ways, and to discuss whether parameter estimation has better asymptotic estimate result. However, the results from the simulation show that introducing the options in the EGARCH model only has a trifle help regarding the parameter estimation.
Appears in Collections:	[Graduate Institute of Statistics] Electronic Thesis & Dissertation

Files in This Item:

File	Size	Format

社群 sharing

Loading...