https://scholars.lib.ntu.edu.tw/handle/123456789/165279
標題: | 封閉解GARCH選擇權模型運用於台指選擇權評價與波動性之研究 An Application of Closed-Form GARCH Option Pricing Model to TAIEX Options and Volatilities |
作者: | 方春苹 Fang, Chun-Ping |
關鍵字: | 選擇權;波動性;GARCH;Volatility;Options | 公開日期: | 2004 | 摘要: | Many empirical studies have indicated that the assumption of Black-Scholes model exhibits systematic biases. In practice, Black-Scholes implied volatilities tend to differ across exercise prices and time to maturity. To overcome the shortcoming, many researchers have contributed to substantial new models. In this article, we test the empirical implications based on Heston and Nandi (2000) GARCH model in the TAIEX options market. As a benchmark model we choose the ad hoc BS model that has the flexibility of fitting to the strike and term structure of observed implied volatilities by using a separate implied volatility for each option. It is found that the GARCH model has smaller valuation errors (out-of-sample) than the ad hoc BS model. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/60677 | 其他識別: | en-US |
顯示於: | 財務金融學系 |
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ntu-93-R91723032-1.pdf | 23.31 kB | Adobe PDF | 檢視/開啟 |
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