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    Title: 狀態相依跳躍風險與美式選擇權評價：黃金期貨市場之實證研究
    State-dependent jump risks and American option pricing: an empirical study of the gold futures market
    Authors: 連育民
    Lian, Yu Min
    Contributors: 廖四郎
    Liao, Szu Lang
    連育民
    Lian, Yu Min
    Keywords: 美式黃金期貨選擇權
    狀態轉換跳躍擴散過程
    Merton測度
    Esscher轉換
    最小平方蒙地卡羅法
    American gold futures option
    Regime-switching jump-diffusion process
    Merton measure
    Esscher transform
    Least-squares Monte Carlo method
    Date: 2013
    Issue Date: 2014-06-04 14:41:45 (UTC+8)
    Abstract: 本文實證探討黃金期貨報酬率的特性並在標的黃金期貨價格遵循狀態轉換跳躍擴散過程時實現美式選擇權之評價。在這樣的動態過程下，跳躍事件被一個複合普瓦松過程與對數常態跳躍振幅所描述，以及狀態轉換到達強度是由一個其狀態代表經濟狀態的隱藏馬可夫鏈所捕捉。考量不同的跳躍風險假設，我們使用Merton測度與Esscher轉換推導出在一個不完全市場設定下的風險中立黃金期貨價格動態過程。為了達到所需的精確度，最小平方蒙地卡羅法被用來近似美式黃金期貨選擇權的價值。基於實際市場資料，我們提供實證與數值結果來說明這個動態模型的優點。
    This dissertation empirically investigates the characteristics of gold futures returns and achieves the valuation of American-style options when the underlying gold futures price follows a regime-switching jump-diffusion process. Under such dynamics, the jump events are described as a compound Poisson process with a log-normal jump amplitude, and the regime-switching arrival intensity is captured by a hidden Markov chain whose states represent the economic states. Considering the different jump risk assumptions, we use the Merton measure and Esscher transform to derive risk-neutral gold futures price dynamics under an incomplete market setting. To achieve a desired accuracy level, the least-squares Monte Carlo method is used to approximate the values of American gold futures options. Our empirical and numerical results based on actual market data are provided to illustrate the advantages of this dynamic model.
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    Description: 博士
    國立政治大學
    金融研究所
    95352506
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095352506
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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