查詢結果分析
來源資料
頁籤選單縮合
題名 | TRINOMIAL BLACK-SCHOLES選擇權演算法之模擬與實證=A Simulation and Empirical Study of the Trinomial Black-Scholes Option Pricing Algorithm |
---|---|
作者姓名(中文) | 周恆志; 王功亮; | 書刊名 | 商管科技季刊 |
卷期 | 8:1 2007.03[民96.03] |
頁次 | 頁91-114 |
分類號 | 562.1 |
關鍵詞 | GARCH選擇權演算法; 樹狀圖演算法; NGARCH模型; 認購權證; 臺指選擇權; GARCH option pricing model; Lattice algorithm; NGARCH; Call warrants; TAIEX option; |
語文 | 中文(Chinese) |
中文摘要 | Cakici and Topyan(2000)簡化Ritchken and Trevor(1999)的樹狀圖演算法,文獻中稱為RTCT 演算法,本文進一步將RTCT 演算法結合Broadie and Detemple(1996)的BBS 概念,提出Trinomial Black-Scholes(TBS)GARCH 選擇權演算法。為了檢測TBS 選擇權演算法的適用性,我們進行數值模擬分析,並以台灣美式認購權證市場資料配適,再與RTCT 演算法的估計結果相比較。結果發現TBS 選擇權演算法可以提升樹狀圖評價模型的運算效率,當評估長期選擇權時,或是處理大量交易資料時,確有節省時間的優勢。台指選擇權市場資料的配適結果同樣支持TBS 選擇權演算法在台灣金融市場應用的優越性。 |
英文摘要 | Cakici and Topyan (2000) modified Ritchken and Trevor's (1999) trinomial lattice algorithm for option pricing, and it was called RTCT algorithm. This article proposes the Trinomial Black-Scholes (TBS) GARCH option pricing algorithm, which graft Black and Scholes (1973) on RTCT trinomial lattice algorithm. In order to test TBS algorithm's performance, we conduct a numerical simulation and then empirically examine TBS algorithm's performance on the pricing of the call warrants in Taiwan Stock Exchange. The pricing results are compared with the pricing results of RTCT lattice algorithm. We find that TBS algorithm can improve the convergence of lattice algorithm. TBS algorithm is more efficient in terms of computing time, especially for long-term options or on dealing with more options in the same time. A robustness test by applying to TAIEX options also demonstrates that TBS algorithm is a comparative alternative of option pricing algorithms for Taiwan financial markets. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。