臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：彩虹選擇權評價--傳統與模糊化Stulz模型之比較
書刊名：朝陽商管評論
作者：李沃牆 引用關係／黃淑菁
作者(外文)：Lee, Wo-chiang／Huang, Shu-ching
出版日期：2006
頁次：頁23-57
主題關鍵詞：準蒙地卡羅法；Sobol低差異序列；模糊理論；Rainbow option；Quasi-Monte Carlo simulation；MGARCH；Fuzzy theory
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:50
本文自行設計金融類、傳產類、電子類及混合類四種組合之雙資產彩虹選擇權。根據過去學者研究之結果，以準蒙地卡羅法(Sobol低差異序列)模擬標的資產價何，再以MGARCH模型估計波動率，又採用移動相關係數，並代入Stulz評價模型，如此便可得到彩虹選擇權的理論價何。接著，藉由模糊化標的資產價格、波動率、相關係數以及距到期期間，形成模糊化Stulz模型再比較兩模型之差異；模糊化Stulz模型與傳統Stulz模型之評價結果經Wilcoxon符號等級檢定，顯示本文所新建立之模糊化Stulz模型是一種可行的評價方法。
In this article, we design four kinds of two-asset rainbow option, namely finance, conventional industries, electronic, mixed finance with electronic rainbow option respectively. In our empirical study, we use Quasi Monte Carlo Method for the simulation of underlying asset price. Additionally, we utilize MGARCH model for estimating volatility and put the moving correlation coefficient into pricing model. Then, we may obtain rainbow option’s theory price. Furthermore, we consider the fuzzy stock price, fuzzy volatility, fuzzy correlation coefficient and fuzzy maturity as input variables. Then, the fuzzy maturity as input variables. Then, the fuzzy pattern of Stulz formula is proposed in this paper. Empirical results and Wilcoxon sign test show that the Fuzzy-Stulz Model is a feasible pricing model.
期刊論文
1.Stulz, René Marcel(1982)。Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications。Journal of Financial Economics，10，161-185。  new window
2.Bratley, P.、Fox, B. L.(1988)。Algorithm 659: Implementing Sobol's Quasirandom Sequence Generator。ACM Trans. Math. Software，14(1)，88-100。  new window
3.Boyle, P.、Evnine, J.、Gibbs, S.(1989)。Numerical Evaluations of Multivariate Contingent Claims。Review of Financial Studies，23(1)，1-12。  new window
4.Boyle, P.、Tse, Y.(1990)。An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets。Journal of Financial and Quantitative Analysis，25，215-227。  new window
5.Chang, P. T.、Lee, E. S.(1994)。The Estimation of Normalized Fuzzy Weights。Computers and Mathematics with Applications，5，22-42。  new window
6.Johnson, H.(1987)。Options on the Maximum or Minimum of Several Assets。Journal of Financial and Quantitative Analysis，22，277-283。  new window
7.Joy, C.、Boyle, P.、Tan, K. S.(1996)。Quasi Monte Carlo Methods in Numerical Finance。Management Science，42(6)，926-936。  new window
8.Joe, S.、Kuo, F. Y.(2003)。Remark on Algorithm 659: Implementing Sobol’s Quasirandom Sequence Generator。ACM Transactions on Mathematical Software，29(1)，49-57。  new window
9.Margrabe, W.(1978)。The Value of an Option to Exchange One Asset to Another。Journal of Finance，33(1)，177-186。  new window
10.Moro, B.(1995)。The Full Monte。RISK，8(2)，57-58。  new window
11.Rubinstein, M.(1994)。Return to Oz。RISK，7，67-71。  new window
12.Sobol, I. M.(1967)。On the Distribution of Points in a Cube and the Approximate Evaluation of Integrals。USSR. Computational Mathematics and Mathematical Physics，7，86-112。  new window
13.Wu, H. C.(2004)。Pricing European Options Based on the Fuzzy Pattern of Black-Scholes Formula。Computers and Operations Research，31(7)，1069-1081。  new window
14.Zadeh, L. A.(1975)。The Concept of A Linguistic Variable and Its Application to Approximate Reasoning。Information Sciences，9，43-80。  new window
15.Boyle, Phelim P.、Broadie, Mark、Glasserman, Paul(1997)。Monte Carlo Methods for Security Pricing。Journal of Economic Dynamics and Control，21(8/9)，1267-1321。  new window
16.Rubinstein, M.(1991)。Somewhere Over the Rainbow。RISK，4，63-66。  new window
17.Chu, S. H.、Freund, S.(1996)。Volatility Estimation for Stock Index Option: GARCH Approach。The Quarterly Review of Economics and Finance，36(4)，431-450。  new window
18.Rubinstein, M.(1985)。Nonparametric Tests of Alternative Pricing Models Using All Reportd Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through 31, 1978。Journal of Finance，40，445-480。  new window
19.Yager, R. R.(1981)。A Procedure for Ordering Fuzzy Subsets of the Unit Interval。Information Science，24，143-161。  new window
20.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory，11(1)，122-150。  new window
21.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
22.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
23.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy，96(1)，116-131。  new window
24.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。  new window
25.Zadeh, Lotfi Asker(1965)。Fuzzy sets。Information and Control，8(3)，338-353。  new window
26.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics，7(3)，229-263。  new window
研究報告
1.Acworth, P.、Broadie, M.、Glasserman, P.(1996)。A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing。  new window
2.Hans, N.、Bystrom, E.(2001)。Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts。Lund：Department of Economics, Lund University。  new window
3.Levy, G.(2002)。Multi-asset Derivative Pricing Using Quasi-Random Numbers and Monte Carlo Simulation。  new window
4.Gibson, M. S.、Boyer, B. H.(1998)。Evaluating Forecasts of Correlation Using Option Pricing。  new window
5.Pauletto, G.(2000)。Parallel Monte Carlo Methods for Derivative Security Pricing。Department of Economics, University of Geneva。  new window
6.Rubinstein, M.(2000)。On the Relation Between Binomial and Trinomial Option Pricing Models。  new window
7.Topper, J.(2001)。Finite Element Modeling of Exotic Options。University of Hannover。  new window
8.Topper, J.(2001)。Worst Case Pricing of Rainbow Options。  new window
圖書
1.Press, W. H.、Teukolsky, S. A.、Vetterling, W. T.、Flannery, B. P.(1992)。Numerical Recipes in Fortran: The Art of Scientific Computing。Cambridge University Press。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：909（臺灣：865，外國：44） ／ 本年度總使用人次：2564847 ／ 訪客人次（自102年09月）：68367683
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上