The Studies of Option Pricing with Stochastic Volatility Model

• Main Authors: Lu I Liang, 呂一良
• Other Authors: Tai-Ming Lee
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/12974699983940335366

碩士 === 輔仁大學 === 金融研究所 === 93 === Abstract This study applies the efficient method of moments to estimate the parameters of stochastic volatility model. According to the estimate result, the study applies Monte Carlo simulation with common random number to do the Taiwan Index Option empirical analysis. The stochastic volatility models are divided into two parts: one is the independence between cash market price and volatility (applying the stochastic volatility model of Hull & White, 1987), the other is the dependence between cash market price and volatility which considers mean reverting effect. The empirical result shows that the performance of the independence between cash market price and volatility stochastic volatility model is better than Black-Scholes model, but the difference is little. On the other hand, the performance of the dependence between cash market price and volatility which considers mean reverting effect stochastic volatility model is much better than Black-Scholes model and the independence between cash market price and volatility stochastic volatility model.