Normal Inverse Gaussian GARCH 模型與選擇權定價

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.author	莊晉國	en_US
dc.contributor.author	Jing-Guo Chuang	en_US
dc.contributor.author	許元春	en_US
dc.contributor.author	Yuan-Chung Sheu	en_US
dc.date.accessioned	2014-12-12T02:56:22Z	-
dc.date.available	2014-12-12T02:56:22Z	-
dc.date.issued	2005	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT009322508	en_US
dc.identifier.uri	http://hdl.handle.net/11536/78997	-
dc.description.abstract	這篇論文用NIG GARCH 的模型去描述財務市埸資產的log return。在這樣的模型假設下，我們可以經由Esscher transform的方法來做資產的定價，而這種方法定出來的價格可以用動態效用函數的架構來說明其合理性。	zh_TW
dc.description.abstract	This article uses the NIG GARCH model, the GARCH model with Normal inverse Gaussian innovation, to model the financial asset return. Under this model, we can pricing derivatives via Conditional Esscher transform. The pricing result can be justified by dynamic power utility framework.	en_US
dc.language.iso	en_US	en_US
dc.subject	Normal Inverse Gaussian 分配	zh_TW
dc.subject	Esscher 轉換	zh_TW
dc.subject	選擇權定價	zh_TW
dc.subject	Normal Inverse Gaussian	en_US
dc.subject	Esscher transform	en_US
dc.subject	Option Pricing	en_US
dc.title	Normal Inverse Gaussian GARCH 模型與選擇權定價	zh_TW
dc.title	Normal Inverse Gaussian GARCH Model and Option Pricing	en_US
dc.type	Thesis	en_US
dc.contributor.department	應用數學系所	zh_TW
顯示於類別：	畢業論文

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