利用GARCH-NIG Model對台指選擇權定價

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DC Field	Value	Language
dc.contributor.author	葉宇青	en_US
dc.contributor.author	Yu -Ching Yeh	en_US
dc.contributor.author	李昭勝	en_US
dc.contributor.author	Dr. Jack C. Lee	en_US
dc.date.accessioned	2014-12-12T02:08:37Z	-
dc.date.available	2014-12-12T02:08:37Z	-
dc.date.issued	2003	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT009126507	en_US
dc.identifier.uri	http://hdl.handle.net/11536/55434	-
dc.description.abstract	此篇論文的重點在於對台指的選擇權來做評價，利用Barndorff-Nielsen在1997年提出的Normal Inverse Gaussian 的分配再加上變異數服從GARCH的過程形成GARCH-NIG的模型。利用最大概似估計法來估計模型中之參數，再利用Monte Carlo的方法來預測選擇權價格。接著與Black-Schole模型預測出的價格做比較。	zh_TW
dc.description.abstract	In this paper，we focus on pricing option of TAIEX using GARCH-NIG model formed by Normal Inverse Gaussian(NIG) distribution proposed by Barndorff-Nielsen in 1997 combined with the variance of NIG distribution following GARCH process. Using maximum likelihood estimation method to estimate parameters within model . After that, we forecast option price using Monte Carlo method and compare the option price forecasted by Black-Schole model.	en_US
dc.language.iso	en_US	en_US
dc.subject	台指選擇權	zh_TW
dc.subject	Normal Inverse Gaussian	en_US
dc.title	利用GARCH-NIG Model對台指選擇權定價	zh_TW
dc.title	Pricing the TAIEX option with GARCH-NIG Model	en_US
dc.type	Thesis	en_US
dc.contributor.department	統計學研究所	zh_TW
Appears in Collections:	Thesis

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