The Theoretical and Empirical Studies of Derivatives Pricing
Date Issued
2014
Date
2014
Author(s)
Lo, Chien-Ling
Abstract
This dissertation contains four essays on derivatives pricing. Specifically, the first part of dissertation “Volatility Model Specification: Evidence from the Pricing of VIX Derivatives” examines the empirical performance of various stochastic volatility models by investigating the pricing of VIX derivatives. This study identifies the respective values of adding a jump component and specifying an additional factor for volatility modeling and proposes an efficient and easily implemented numerical approximation for the pricing of VIX derivatives. The second part of dissertation “Extracting Default Information from Equity Option Prices: A General Equilibrium Approach” proposes a new option pricing model to extract the forward-looking default information from the market prices of stock options. This study also derives the theoretical default risk premium under a general equilibrium framework. The third part of dissertation “Valuation of Insurers’ Contingent Capital with Counterparty Risk and Price Endogeneity” develops a structural framework to value insurers’ contingent capital with counterparty risk and overcomes the problem of price endogeneity in the valuation model. This study also examines how catastrophe equity put options affect the buyer’s probability of default and concludes that buying a catastrophe equity put option lowers the probability of default for high-risk insurers, but not necessarily so for low-risk insurers. The last part of dissertation “On Moment-Matching Approximations for Asian Options” provides a generalized framework under which all types of Asian options can be priced. This study utilizes the moment-matching approach, deriving analytic approximations for option prices and providing a tractable iterative method to calculate the moments.
Subjects
衍生性金融商品訂價
波動指數衍生性金融商品
隨機波動
違約機率
或有資本
巨災風險
亞式選擇權
封閉近似解
Type
thesis
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