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| Title: | 卜瓦松指標下分支過程的股票定價模型及其應用
Stock pricing by Poisson indexed branching process and its application |
| Authors: | 葉佳明
Ye, Jia-Ming |
| Contributors: | 洪芷漪
Hong, Jyy-I
葉佳明
Ye, Jia-Ming |
| Keywords: | 股票價格
亞式選擇權
卜瓦松指標下分支過程
參數
估計量
定價公式
Stock price
Asian option
Poisson randomly indexed branching process
Estimator
Parameter
Pricing formula |
| Date: | 2022 |
| Issue Date: | 2022-09-02 15:04:24 (UTC+8) |
| Abstract: | 在風險中立市場上，我們以離散模型的角度去探討選擇權
，在本論文我們沿續Epps(1996)以 Poisson randomly indexed branching process 來定價股票價格，並且提出更佳的估計參數方法，同時給出亞式選擇權的定價模型。
In a risk-neutral market, we explore options from the perspective of a discrete model.
In this thesis, we follow Epps` (1996) for price stock using the Poisson randomly indexed branching process and propose an estimation for the parameters. Moreover, we also apply this model to provide a pricing formula for the Asian Option. |
| Reference: | Bibliography
[1] K.B. Athreya and P.E. Ney. Branching Processes. Grundlehren der mathematischen Wissenschaften. Springer Berlin Heidelberg, 1972.
[2] Jean-Pierre Dion and Belkheir Essebbar. On the statistics of controlled branching processes.
In Branching processes, pages 14–21. Springer, 1995.
[3] JP Dion and TW Epps. Stock prices as branching processes in random environments: estimation. Communications in Statistics-Simulation and Computation, 28(4):957–975, 1999.
[4] JP Dion and WW Esty. Estimation problems in branching processes with random environments. The Annals of Statistics, pages 680–685, 1979.
[5] TW Epps. Stock prices as branching processes. Stochastic Models, 12(4):529–558, 1996.
[6] Theodore Edward Harris et al. The theory of branching processes, volume 6. Springer Berlin, 1963.
[7] Georgi Mitov and Kosto Mitov. Option pricing by branching process. Pliska Studia Mathematica Bulgarica, 18(1):213p–224p, 2007.
[8] S James Press. A compound events model for security prices. Journal of business, pages 317–335, 1967.
[9] NM Yanev. Limit-theorems for estimators in galton-watson branching-processes. DOKLADI NA BOLGARSKATA AKADEMIYA NA NAUKITE, 38(6):683–686, 1985. |
| Description: | 碩士
國立政治大學
應用數學系
107751009 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107751009 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202201402 |
| Appears in Collections: | [應用數學系] 學位論文
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| 100901.pdf | | 623Kb | Adobe PDF2 | 55 | View/Open |
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