GARCH Option Pricing Model Fitting With Taiwan Stock Market
碩士 === 國立中山大學 === 財務管理學系研究所 === 95 === This article emphasizes on fitting GARCH option pricing model with Taiwan stock market. Duan’s(1995) NGARCH option pricing model is adopted. Duan solved the European option by simulation, this article follow the method and extents to pricing American option. In...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | en_US |
Published: |
2007
|
Online Access: | http://ndltd.ncl.edu.tw/handle/hex24d |
id |
ndltd-TW-095NSYS5305038 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-095NSYS53050382019-05-15T20:22:41Z http://ndltd.ncl.edu.tw/handle/hex24d GARCH Option Pricing Model Fitting With Taiwan Stock Market GARCH選擇權評價模型配適台灣股市 Hao-yuan Lo 羅浩元 碩士 國立中山大學 財務管理學系研究所 95 This article emphasizes on fitting GARCH option pricing model with Taiwan stock market. Duan’s(1995) NGARCH option pricing model is adopted. Duan solved the European option by simulation, this article follow the method and extents to pricing American option. In general, simulation approach is not convenient to solve American options as well as European options. However, the least-squares method proposed by Longstaff and Schwartz is a simple and powerful tool, so this article tests the method. The NGARCH model has parameters, and base on loglikelihood function, we fit the model with empirical observations to obtain parameters. Then we can simulate the stock prices, once stock prices are simulated, the option value can be priced. Since the article simulates the option, there should be the antithetic approaches instead of simulation. In practice, the Black-Schoels model is the benchmark for pricing European option, so this article compares the simulated European options with Black-Scholes. For American option, this article compares the simulated American options which are priced by least-squares method with trinomial tree (finite difference method). Huang Jen-Jsung 黃振聰 2007 學位論文 ; thesis 36 en_US |
collection |
NDLTD |
language |
en_US |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 國立中山大學 === 財務管理學系研究所 === 95 === This article emphasizes on fitting GARCH option pricing model with Taiwan stock market. Duan’s(1995) NGARCH option pricing model is adopted. Duan solved the European option by simulation, this article follow the method and extents to pricing American option. In general, simulation approach is not convenient to solve American options as well as European options. However, the least-squares method proposed by Longstaff and Schwartz is a simple and powerful tool, so this article tests the method. The NGARCH model has parameters, and base on loglikelihood function, we fit the model with empirical observations to obtain parameters. Then we can simulate the stock prices, once stock prices are simulated, the option value can be priced. Since the article simulates the option, there should be the antithetic approaches instead of simulation. In practice, the Black-Schoels model is the benchmark for pricing European option, so this article compares the simulated European options with Black-Scholes. For American option, this article compares the simulated American options which are priced by least-squares method with trinomial tree (finite difference method).
|
author2 |
Huang Jen-Jsung |
author_facet |
Huang Jen-Jsung Hao-yuan Lo 羅浩元 |
author |
Hao-yuan Lo 羅浩元 |
spellingShingle |
Hao-yuan Lo 羅浩元 GARCH Option Pricing Model Fitting With Taiwan Stock Market |
author_sort |
Hao-yuan Lo |
title |
GARCH Option Pricing Model Fitting With Taiwan Stock Market |
title_short |
GARCH Option Pricing Model Fitting With Taiwan Stock Market |
title_full |
GARCH Option Pricing Model Fitting With Taiwan Stock Market |
title_fullStr |
GARCH Option Pricing Model Fitting With Taiwan Stock Market |
title_full_unstemmed |
GARCH Option Pricing Model Fitting With Taiwan Stock Market |
title_sort |
garch option pricing model fitting with taiwan stock market |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/hex24d |
work_keys_str_mv |
AT haoyuanlo garchoptionpricingmodelfittingwithtaiwanstockmarket AT luóhàoyuán garchoptionpricingmodelfittingwithtaiwanstockmarket AT haoyuanlo garchxuǎnzéquánpíngjiàmóxíngpèishìtáiwāngǔshì AT luóhàoyuán garchxuǎnzéquánpíngjiàmóxíngpèishìtáiwāngǔshì |
_version_ |
1719098626775449600 |