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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99312


    Title: GARCH-Lévy匯率選擇權評價模型 與實證分析
    Pricing Model and Empirical Analysis of Currency Option under GARCH-Lévy processes
    Authors: 朱苡榕
    Zhu, Yi Rong
    Contributors: 林士貴
    蔡紋琦
    Lin, Shih Kuei
    Tsai, Wen Chi
    朱苡榕
    Zhu, Yi Rong
    Keywords: 匯率選擇權評價
    GARCH
    Lévy過程
    跳躍風險
    波動聚集
    Currency option pricing formula
    GARCH
    Lévy-process
    Jump risk
    Volatility clustering
    Date: 2016
    Issue Date: 2016-07-20 16:52:24 (UTC+8)
    Abstract: 本研究利用GARCH動態過程的優點捕捉匯率報酬率之異質變異與波動度叢聚性質，並以GARCH動態過程為基礎，考慮跳躍風險服從Lévy過程，再利用特徵函數與快速傅立葉轉換方法推導出GARCH-Lévy動態過程下的歐式匯率選擇權解析解。以日圓兌換美元(JPY/USD)之歐式匯率選擇權為實證資料，比較基準GARCH選擇權評價模型與GARCH-Lévy選擇權評價模型對市場真實價格的配適效果與預測能力。實證結果顯示，考慮跳躍風險為無限活躍之Lévy過程，即GARCH-VG與GARCH-NIG匯率選擇權評價模型，不論是樣本內的評價誤差或是在樣本外的避險誤差皆勝於考慮跳躍風險為有限活躍Lévy過程的GARCH-MJ匯率選擇權評價模型。整體而言，本研究發現進行匯率選擇權之評價時，GARCH-NIG匯率選擇權評價模型有較小的樣本內及樣本外評價誤差。
    In this thesis, we make use of GARCH dynamic to capture volatility clustering and heteroskedasticity in exchange rate. We consider a jump risk which follows Lévy process based on GARCH model. Furthermore, we use characteristic function and fast fourier transform to derive the currency option pricing formula under GARCH-Lévy process. We collect the JPY/USD exchange rate data for our empirical analysis and then compare the goodness of fit and prediction performance between GARCH benchmark and GARCH-Lévy currency option pricing model. The empirical results show that either in-sample pricing error or out-of-sample hedging performance, the infinite-activity Lévy process, GARCH-VG and GARCH-NIG option pricing model is better than finite-activity Lévy process, GARCH-MJ option pricing model. Overall, we find using GARCH-NIG currency option pricing model can achieve the lower in-sample and out-of sample pricing error.
    Reference: [1] Amin, K., Jarrow, R. A., 1991. Pricing foreign currency options under stochastic interest rates. Journal of International Money and Finance, 10: 310-329.
    [2] Bakshi, G., Cao, C., & Chen, Z. W., 1997. Empirical performance of alternative option pricing models. Journal of Finance, 52: 2003-2049.
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    [21] Nelson, D. B., 1991. Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59: 347-370.
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    Description: 碩士
    國立政治大學
    統計學系
    103354023
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103354023
    Data Type: thesis
    Appears in Collections:[Department of Statistics] Theses

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