Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models

碩士 === 長庚大學 === 工商管理學系 === 99 === In our paper, we use Autoregressive Conditional Heteroskedastic Variance and Skewness Model to price TXO options. In order to improve the efficiency of compute. The model is estimated assuming a Gram–Charlier (GC) series expansion of the normal density function for...

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Bibliographic Details
Main Authors:	Chih Jie Kao, 高致傑
Other Authors:	C. Y. Tsao
Format:	Others
Published:	2010
Online Access:	http://ndltd.ncl.edu.tw/handle/18625431098738628117

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spelling	ndltd-TW-099CGU050260042015-10-19T04:03:40Z http://ndltd.ncl.edu.tw/handle/18625431098738628117 Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models 以條件異質變異與偏態度模型對選擇權定價 Chih Jie Kao 高致傑碩士長庚大學工商管理學系 99 In our paper, we use Autoregressive Conditional Heteroskedastic Variance and Skewness Model to price TXO options. In order to improve the efficiency of compute. The model is estimated assuming a Gram–Charlier (GC) series expansion of the normal density function for the error term. We used modified FHS method to amend parameter. Then, we used Mean Square Weighted Error Rate to compute the value of error. In empirical analysis, we show that consider GJR-GARCH with Skewness model outperform GJR-GARCH model. C. Y. Tsao 棗厥庸 2010 學位論文 ; thesis 46
collection	NDLTD
format	Others
sources	NDLTD
description	碩士 === 長庚大學 === 工商管理學系 === 99 === In our paper, we use Autoregressive Conditional Heteroskedastic Variance and Skewness Model to price TXO options. In order to improve the efficiency of compute. The model is estimated assuming a Gram–Charlier (GC) series expansion of the normal density function for the error term. We used modified FHS method to amend parameter. Then, we used Mean Square Weighted Error Rate to compute the value of error. In empirical analysis, we show that consider GJR-GARCH with Skewness model outperform GJR-GARCH model.
author2	C. Y. Tsao
author_facet	C. Y. Tsao Chih Jie Kao 高致傑
author	Chih Jie Kao 高致傑
spellingShingle	Chih Jie Kao 高致傑 Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models
author_sort	Chih Jie Kao
title	Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models
title_short	Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models
title_full	Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models
title_fullStr	Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models
title_full_unstemmed	Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models
title_sort	option pricings by using autoregressive conditional heteroskedastic variance and skewness models
publishDate	2010
url	http://ndltd.ncl.edu.tw/handle/18625431098738628117
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Option Pricings by Using Autoregressive Conditional Heteroskedastic Variance and Skewness Models

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