查詢結果分析
相關文獻
- 跳躍幅度相關風險下狀態轉換模型之選擇權定價與實證分析
- Phases and Characteristics of Taiwan Business Cycles: A Markov Switching Analysis
- 馬可夫狀態轉換模型與混合分配模型估計風險值之應用--以臺灣發行量加權股價指數為例
- 臺灣短期利率的動態行為--狀態轉換模型的應用
- The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Index
- 跳躍擴散模型下固定比例債務債券之評價、風險構面與其避險機制
- 國際金融危機期間亞洲新興國家股市之波動蔓延效果
- 兩岸動態利率期限結構--馬可夫狀態轉換跳躍擴散模型之實證研究及其貨幣政策意涵
- Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process
- Analysis of Investment Uncertainty Relationship under a Jump-Diffusion Model and Constant Elasticity of Variance Process
頁籤選單縮合
題名 | 跳躍幅度相關風險下狀態轉換模型之選擇權定價與實證分析=Empirical Analysis and Option Pricing under Regime Switching Model with Dependent Jump Size Risks |
---|---|
作者 | 林士貴; 劉惠美; 陳亭甫; 林琮偉; | 書刊名 | 風險管理學報 |
卷期 | 14:2 2012.12[民101.12] |
頁次 | 頁161-187 |
分類號 | 563.54 |
關鍵詞 | Esscher變換法; 跳躍擴散模型; 狀態轉換模型; Esscher transformation; Jump diffusion model; Regime switching model; |
語文 | 中文(Chinese) |
中文摘要 | 本文使用Esscher轉換法推衍跳躍相關風險下狀態轉換模型的選擇權定價公式。透過敏感度分析,驗證股票市場處於高波動之時間、跳躍幅度的波動度及跳躍頻率三者與買權價格呈現正相關。藉由1999年至2011年道瓊工業指數,使用(Lin, Hsu, Hung and Hung, 2012)所發展的Expectation-Maximization(EM)演算法估計模型參數,並進行選擇權評價。透過AIC、BIC等配適度檢定,驗證跳躍相關風險下狀態轉換模型相較於Black-Scholes模型、狀態轉換模型以及跳躍相關風險下狀態轉換模型,在股價指數報酬率有較佳的配適能力。另外,根據選擇權市場資料的驗證結果,跳躍相關風險下狀態轉換模型在價平及價外的定價誤差皆為最小,整體而言,是Black-Scholes模型、狀態轉換模型、跳躍相關風險下狀態轉換模型以及跳躍相關風險下狀態轉換模型之中最適合的評價模型。 |
英文摘要 | In this paper, we derive the option pricing formula of the regime switching model with dependent jump size risks by Esscher transformation. The sensitivity analysis reveals the period of the higher volatility, the volatility of the jump sizes, and the jump frequency are positively correlated with the price of European call index option. The parameters of Black-Scholes model (BSM), regime switching model (RSM), regime switching model with independent jump size risks (RSMIJ) and regime switching model with dependent jump size risks (RSMDJ) are estimated form Dow-Jones industrial average index over the period 1999 to 2011 by EM algorithm inferred by (Lin, Hsu, Hung and Hung, 2012) and we inference that RSMDJ model has relatives goodness to fit the returns of index data by AIC and BIC values. Furthermore, according to the empirical studies of pricing error with option data, RSMDJ model provides the best pricing ability compared with Black-Scholes model, regime switching model and regime switching model with independent jump size risks. Overall, RSMDJ is the relatively best model of fitting the return of stock index and option pricing model. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。