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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/35061


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    題名: 外匯選擇權的定價－馬可夫鏈蒙地卡羅法(MCMC)之績效探討
    作者: 任紀為
    貢獻者: 杜化宇
    任紀為
    關鍵詞: 馬可夫鍵蒙地卡羅
    狀態轉換波動
    吉普斯抽樣
    笑狀波幅
    Markov-chain Monte Carlo
    Regime-switching volatility
    Gibbs sampling
    Volatility smile
    日期: 2004
    上傳時間: 2009-09-18 13:41:54 (UTC+8)
    摘要: 在真實世界中，我們可以觀察到許多財務或經濟變數(股價、匯率、利率等)有時波動幅度非常微小，呈現相對穩定的狀態(Regime)；有時會由於政治因素或經濟環境的變動，突然一段期間呈現瘋狂震盪的狀態。針對這種現象，已有學者提出狀態轉換波動度模型(Regime Switching Volatility Model，簡稱RSV)來捕捉此一現象。

    本篇論文選擇每年交易金額非常龐大的外匯選擇權市場，以RSV模型為基礎，採用馬可夫鏈蒙地卡羅法 ( Markov Chain Monte Carlo，簡稱MCMC ) 中的吉普斯抽樣(Gibbs Sampling)法來估計RSV模型的參數，依此預測外匯選擇權在RSV模型下的價格。我們再將此價格與Black and Scholes(BS)法及實際市場交易的價格資料作比較，最後並提出笑狀波幅與隱含波動度平面的結果。結果顯示經由RSV模型與MCMC演算法所計算出來的選擇權價格確實優於傳統的BS方法，且能有效解釋波動率期間結構 (Volatility Term Structure) 與笑狀波幅 (Volatility Smile) 的現象，確實反應且捕捉到了市場上選擇權價格所應具備的特色。
    參考文獻: 一、中文部分（依作者姓名筆畫排列）
    杜化宇，期貨與選擇概論. John C. Hull 原著，民國八十九年，雙葉書廊。
    阮建豐， ”利用混合模型估計風險值的探討” ，國立政治大學統計學研究所碩士論文，民國九十年六月。
    陳松男，金融工程學.，民國九十一年，華泰書局出版。
    黃大展， ”隨機波動下的二元樹狀模型之探討” ，國立政治大學財務管理研究所碩士論文，民國九十年六月。
    謝盈弘， ”馬可夫鏈蒙地卡羅法在外匯選擇權定價的應用” ，國立政治大學統計學研究所碩士論文，民國九十一年六月。
    二、英文部分（依作者姓氏字母排列）
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    描述: 碩士
    國立政治大學
    企業管理研究所
    92355055
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923550551
    資料類型: thesis
    顯示於類別:[企業管理學系] 學位論文

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