頁籤選單縮合
題名 | 彩虹選擇權評價--傳統與模糊化Stulz模型之比較=Comparison of Rainbow Option Pricing--Traditional and Fuzzy Stule Model |
---|---|
作者姓名(中文) | 李沃牆; 黃淑菁; | 書刊名 | 朝陽商管評論 |
卷期 | 5:1民95.01 |
頁次 | 頁23-57 |
分類號 | 562.1 |
關鍵詞 | 準蒙地卡羅法; Sobol低差異序列; 模糊理論; Rainbow option; Quasi-Monte Carlo simulation; MGARCH; Fuzzy theory; |
語文 | 中文(Chinese) |
中文摘要 | 本文自行設計金融類、傳產類、電子類及混合類四種組合之雙資產彩虹選擇權。根據過去學者研究之結果,以準蒙地卡羅法(Sobol低差異序列)模擬標的資產價何,再以MGARCH模型估計波動率,又採用移動相關係數,並代入Stulz評價模型,如此便可得到彩虹選擇權的理論價何。接著,藉由模糊化標的資產價格、波動率、相關係數以及距到期期間,形成模糊化Stulz模型再比較兩模型之差異;模糊化Stulz模型與傳統Stulz模型之評價結果經Wilcoxon符號等級檢定,顯示本文所新建立之模糊化Stulz模型是一種可行的評價方法。 |
英文摘要 | In this article, we design four kinds of two-asset rainbow option, namely finance, conventional industries, electronic, mixed finance with electronic rainbow option respectively. In our empirical study, we use Quasi Monte Carlo Method for the simulation of underlying asset price. Additionally, we utilize MGARCH model for estimating volatility and put the moving correlation coefficient into pricing model. Then, we may obtain rainbow option’s theory price. Furthermore, we consider the fuzzy stock price, fuzzy volatility, fuzzy correlation coefficient and fuzzy maturity as input variables. Then, the fuzzy maturity as input variables. Then, the fuzzy pattern of Stulz formula is proposed in this paper. Empirical results and Wilcoxon sign test show that the Fuzzy-Stulz Model is a feasible pricing model. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。