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| 研究生： |
彭道鈞 Peng, Dao Jyun |
|---|---|
| 論文名稱： |
隨機波動度模型在外匯選擇權市場的應用 Application of Currency Option Markets in Stochastic Volatility Models |
| 指導教授： | 林士貴 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2015 |
| 畢業學年度： | 103 |
| 語文別： | 中文 |
| 論文頁數： | 34 |
| 中文關鍵詞： | 外匯選擇權評價 、零息債券評價 、跳躍擴散模型 、隨機利率模型 、隨機波動度模型 、Heston模型 、Vasicek模型 |
| 外文關鍵詞： | currency option pricing, zero-coupon bond pricing, jump-diffusion model, stochastic interest rates model, stochastic volatility model, Heston model, Vasicek model |
| 相關次數： | 點閱：87 下載：17 |
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本研究提出考慮跳躍擴散、隨機利率與隨機波動度的一般化外匯選擇權評價模型並推導零息債券及歐式選擇權之解析解。以歐元兌美元歐式匯率選擇權為實證資料，比較考慮不同因子的模型對市場價格的配適及預測能力。實證結果顯示，一般而言跳躍擴散(SJ)模型及隨機波動度(SV)模型相較於其他模型表現較佳。
This study provide a new generalized currency option pricing model with jump-diffusion, stochastic interest rates and stochastic volatility to deduce analytical solutions for the European option. By using euro-dollar (EURUSD) European exchange rate option as empirical data we compare how models with different factors reflect the calibration and prediction capabilities on market price. The empirical results shows that in general, jump-diffusion model and stochastic volatility model performed better compared to other models.
第一章 緒論 1
第二章 文獻探討 4
第三章 外匯選擇權定價模型 7
第一節 利率模型與零息債券(ZERO COUPON BOND)定價 7
第二節 匯率模型與歐式選擇權(EUROPEAN OPTION)定價 9
第四章 實證分析 13
第一節 資料說明 13
第二節 模型參數校估(CALIBRATION) 15
第三節 樣本內(IN-SAMPLE)配適表現 18
第四節 樣本外(OUT-SAMPLE)預測表現 19
第五章 結論 21
附錄 22
第一節 零息債券定價 22
第二節 歐式選擇權定價 24
第三節 單因子模型與一般化模型參數設定 32
參考文獻 33
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