NGARCH模型中選檡權之定價: 應用於臺指選擇權

Abstract

這篇論文假設選擇權標的物之報酬率遵循離散性NGARCH模型，進而採風險中立機率測度定出選擇權價格，並使用修正的蒙地卡羅法 (改稱為Empirical Martingale Simulation) 來計算其數值評價。最後結合這些技巧，應用在2001年12月24日上巿的臺灣加權股價指數選擇權 (Taiwan Stock Exchange Capitalization Weighted Stock Index)，研究結果顯示這個估價模型的確優於Black-Scholes 模型。

Following the work of Black and Scholes, we consider a discrete time option model of the NGARCH asset return process. At the same time, a new numerical method named by Empirical Martingale Simulation (EMS) takes the place of crude Monte Carlo Simulation (MCS) to calculate the generated option price. Combining these techniques, we investigate the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) options which were introduced on December 24, 2001. The result shows that the valuation model is better than the Black-Scholes model.