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dc.contributor.author葉宇青en_US
dc.contributor.authorYu -Ching Yehen_US
dc.contributor.author李昭勝en_US
dc.contributor.authorDr. Jack C. Leeen_US
dc.date.accessioned2014-12-12T02:08:37Z-
dc.date.available2014-12-12T02:08:37Z-
dc.date.issued2003en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT009126507en_US
dc.identifier.urihttp://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.abstractIn 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.isoen_USen_US
dc.subject台指選擇權zh_TW
dc.subjectNormal Inverse Gaussianen_US
dc.title利用GARCH-NIG Model對台指選擇權定價zh_TW
dc.titlePricing the TAIEX option with GARCH-NIG Modelen_US
dc.typeThesisen_US
dc.contributor.department統計學研究所zh_TW
Appears in Collections:Thesis


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