Canonical Valuation and Hedging of Taiwan Stock Index options
碩士 === 淡江大學 === 產業經濟學系博士班 === 96 === This study applies nonparametric Canonical Valuation to TAIEX options, adds constraint to the model, and uses futures as the underlying of TAIEX options, in order to investigate the performance of option pricing and hedging. We find the returns of futures violent...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/09541695252583714614 |
| Summary: | 碩士 === 淡江大學 === 產業經濟學系博士班 === 96 === This study applies nonparametric Canonical Valuation to TAIEX options, adds constraint to the model, and uses futures as the underlying of TAIEX options, in order to investigate the performance of option pricing and hedging. We find the returns of futures violent the assumptions of normality B-S model. Thus the constrained canonical model outperforms B-S model. The result of hedging shows that the unconstrained canonical model is the most efficient in hedging. This may be that adding constraint to the model reduces the accuracy in delta estimating. Moreover, the regression of pricing errors shows that the additional constraint in these two models decreases pricing errors.
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