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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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1

馬可夫鏈蒙地卡羅法在外匯選擇權定價的應用

謝盈弘 Unknown Date (has links)
本篇論文以Regime Switching Stochastic Volatility（RSV）作為外匯選擇權市場的波動度模型，採用馬可夫鏈蒙地卡羅法（Markov Chain Monte Carlo）中的GibbS Sampling演算法估計RSV模型的參數，並預測外匯選擇權在RSV模型下的價格。 數值結果方面首先對GibbS Sampling參數估計的結果做討論，再對預測出的選擇權價格與Black and Scholes作比較，最後並提出笑狀波幅與隱含波動度平面的結果。 本研究所得到之結論： 1. RSV模型與MCMC模擬法的組合，具備產生笑狀波幅的能力，提供足夠證據顯示，RSV模型與MCMC演算法所計算出來的選擇權價格，確實反應且捕捉到了市場上選擇權價格所應具備的特色。 2. 本模型能有效解釋期限結構 （Term Stucture of Volatility）、笑狀波幅（Volatility Smile）的現象。 關鍵字：馬可夫鏈蒙地卡羅法、外匯選擇權、貝氏選擇權評價、MCMC、Regime switching Regine change、Gibbs Sampling、currency option、Markov Chain Montec Carlo
馬可夫鏈蒙地卡羅法
外匯選擇權
貝氏選擇權評價
Markov chain monte carlo
Currency option
Bayesian option prcing
MCMC
Gibbs sampling
Regime switching

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