利用GARCH-NIG Model對台指選擇權定價

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。

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.