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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35103


    Title: 跳躍擴散模型下之美式選擇權評價分析-隨機樹狀模型之應用
    Authors: 陳雅婷
    Contributors: 胡聯國
    陳雅婷
    Keywords: 美式選擇權
    跳躍擴散模型
    隨機樹狀模型
    Date: 2005
    Issue Date: 2009-09-18 14:10:22 (UTC+8)
    Abstract: Black and Scholes評價模型假設標的資產價格變動行為為服從常態分配的一連續擴散過程(Continuous Diffusion Process)。然而，許多實證研究結果指出相較於常態分配，市場上資產報酬形態多具有厚尾（Fatter Tails）、偏態、高峰態與價格不連續之現象。Merton(1976)提出跳躍擴散模型，在標的資產價格行為服從跳躍擴散程序的假設下，求算選擇權理論價格，有效地解釋市場資產報酬分配型態呈現偏態、高峰態及價格不連續等現象。本文在標的資產價格行為服從Merton（1976）跳躍擴散程序（Jump-Diffusion Process）的假設下，利用Broadie and Glasserman（1997a）所提出之隨機樹狀模型（Random Tree Model）來評價具有提前履約性質的美式選擇權，利用一信賴區間來解決一般美式選擇權模擬估計所產生之偏誤問題。
    Reference: Amin, Kaushik I., 1993," Jump Diffusion Option Valuation in
    Discrete Time", Journal of Finance, Vol.48, No.5, pp.1833- 1863.
    Broadie, M., and P. Glasserman, 1997, "Pricing American-
    Style Securities Using Simulation," Journal of Economic
    Dynamics and Control, 21, 8-9, 1323-1352.
    Cox,J.C. and S. Ross. "The Pricing of Options for Jump
    Processes." Working Paper No. 2-75. University of
    Pennsylvania, Rodney L. White Center for Financial
    Research April 1975.
    Cox,J.C. and S. Ross,1976, "The Valuation of Options for
    Alternative Stochastic Processes." Jorunal of Financial
    Economics,vol.3, pp.145-166,Jan-March.
    Grant, D., G. Vora, and D. Weeks, 1996, "Simulation and the
    Early-Exercise Option Problem," Journal of Financial
    Engineering, 5, 3, 211-227.
    Kremer, J. W. and R. L. Roenfeldt,1992, "Warrant Pricing:
    Jump-Diffusion vs. Black-Scholes." Journal of Financial
    and Quantitative Analysis,vol.28,pp.255-272, June.
    Merton, R. C, 1971, "Optimum Consumption and Portfolio
    Rules in a Continuous-Time Model." Journal of Economic
    Theory,vol.3, pp.373-413.
    Merton,R.C,1976, "Option Pricing When the Underlying Stock
    Rturns Are Discontinuous." Journal of Financial
    Economics, vol.3,pp.125-144,Jan.-March.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351013
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093351013
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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