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題名：Pricing Contingent Claims Using the Heath-Jarrow-Morton Term Structure Model and Time-changed Lévy Processes
書刊名：Asia Pacific Management Review
作者：劉裕宏 引用關係／姜一銘 引用關係／封之遠
作者(外文)：Liu, Yu-hong／Jiang, I-ming／Fong, Zhi-yuan
出版日期：2014
卷期：19:3
頁次：頁273-298
主題關鍵詞：美式選擇權的價格上界；隨時間改變的Lévy模型；隨機利率；HJM模型；Upper bounds for American option prices；Time-changed Lévy processes；Stochastic interest rates；The HJM model
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:1
  • 共同引用共同引用:0
  • 點閱點閱:26
本文利用Carr and Wu（2004）的隨時間改變Lévy模型並放寬隨機利率假設下進行衍生性金融商品的評價，我們採取HJM（1992）的方法得到歐式一般選擇權及期貨選擇權之理論解。不僅如此，本文也得到此新模型的美式選擇權之上界理論解。此上界不但非常近似封閉解且十分利於提升美式選擇權評價及避險的效率。本文發展的新模型放寬了過往選擇權文獻所有的限制，並加入文獻中所提出資產報酬應具有：高峰、厚尾、利率與波動度為隨機波動等特徵。
This study examines the contingent claim valuation of risky assets in a stochastic interest rate economy using the time-changed Lévy processes model developed by Carr and Wu (2004). The proposed model adopts the approach of Heath, Jarrow and Morton's (1992) to obtain an analytical solution of European options on risky assets and futures contracts. Furthermore, this investigation develops upper bounds for American options prices using the proposed model. The upper bounds derived in this study are not only very tight and accurate for American option pricing, but can also enhance assessment and hedging efficiency in real world markets. The asset returns obtained by the proposed model are more closely match actual market phenomena presented in the option literature because the leptokurtic and asymmetric features, interest rates and volatility are stochastic over time.
期刊論文
1.Carr, P.、Madan, D.(1999)。Option Valuation Using the Fast Fourier Transform。Journal of Computational Finance，2(4)，61-73。  new window
2.Chen, Ren R.、Yeh, Shih K.(2002)。Analytical upper bounds for American option prices。Journal of Financial and Quantitative Analysis，37，117-135。  new window
3.Chung, San L.、Chang, Hsieh C.(2007)。Generalized analytical upper bounds for American option prices。Journal of Financial and Quantitative Analysis，42(1)，209-228。  new window
4.Boyle, P. P.、Lin, X. S.(1997)。Bounds on contingent claims based on several assets。Journal of Financial Economics，46(3)，383-400。  new window
5.Carr, P.、Geman, H.、Madan, D.、Yor, M.(2003)。Stochastic volatility for levy processes.Mathematical。Finance，13(3)，345-382。  new window
6.Carr, P.、Wu, L.(2003)。Finite moment log stable process and option pricing。Journal of Finance，58(2)，753-777。  new window
7.Constantinides, G. M.、Perrakis, S.(2002)。Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs。Journal of Economic Dynamics and Control，26(7)，1323-1352。  new window
8.Cont, R.(2001)。Empirical properties of asset returns: Stylized facts and statistical issues.Quantitative Finance。Quantitative Finance，1(2)，223-236。  new window
9.Eberlein, E.、Raible, S.(1999)。Term structure models driven by general Levy processes.。Mathematical Finance，9(1)，31-53。  new window
10.Geman, H.、Madan, D.、Yor, M.(2001)。Time changes for Levy processes。Mathematical Finance，11(1)，79-96。  new window
11.Guo, J.、Hung, M.(2007)。Pricing American options on foreign currency with stochastic volatility, jumps and stochastic interest rates。Journal of Futures Markets, Econometrica，27(9)，77-105。  new window
12.Kijima, M.、Muromachi, Y.(2001)。Pricing equity swaps in a stochastic interest rate economy。Journal of Derivatives，8(4)，19-35。  new window
13.Levy, H.(1985)。Upper and lower bounds of put and call option value: Stochastic dominance approach。Journal of Finance，40(4)，1197-1217。  new window
14.Lo, A. W.(1987)。Semi-parametric upper bounds for option prices and expected payoff。Journal of Financial Economics，19(2)，373-387。  new window
15.Madan, D.、Seneta, E.(1990)。The variance gamma (V.G.) model for share market returns。Journal of Business，63(4)，511-524。  new window
16.Merton, R. C.(1973)。Theory of the rational option pricing。The Bell Journal of Economics and Management Science，4(1)，141-183。  new window
17.Ritchken, P.(1985)。On option pricing bounds。Journal of Finance，40(4)，1219-1233。  new window
18.Ritchken, P.、Kuo, S.(1988)。Option bounds with finite revision opportunities。Journal of Finance，43(2)，301-308。  new window
19.Scott, L.(1997)。Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of fourier inversion method。Mathematical Finance，7(4)，413-426。  new window
20.Wu, L.(2006)。Dampened power law: Reconciling the tail behavior of financial asset returns。Journal of Business，79(3)，1445-1474。  new window
21.Wu, T. P.、Chen, S. N.(2007)。Equity swaps in a LIBOR market model。Journal of Futures Markets，27(9)，893-920。  new window
22.Carr, P.、Geman, H.、Madan, D. B.、Yor, M.(2002)。The Fine Structure of Asset Returns: An Empirical Investigation。Journal of Business，75(2)，305-332。  new window
23.Madan, D. B.、Carr, P. P.、Chang, E. C.(1998)。The variance gamma process and option pricing。European Finance Review，2(1)，79-105。  new window
24.Amin, K. I.、Jarrow, R. A.(1991)。Pricing Foreign Currency Options under Stochastic Interest rates。Journal of International Money and Finance，10(3)，310-329。  new window
25.Amin, K.、Jarrow, R.(1992)。Pricing options on risky assets in a stochastic interest economy。Mathematical Finance，2(4)，217-237。  new window
26.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics，3(1/2)，125-144。  new window
27.Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance，49(3)，771-818。  new window
28.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
29.Carr, P.、Wu, L.。Time-changed Levy Processes and Option Pricing。Journal of Financial Economics，71，113-141。  new window
30.Carr, P.、Wu, L.(2007)。Stochastic Skew in Currency Options。Journal of Financial Economics，86，213-247。  new window
31.Bakshi, G. S.、Chen, Z.(1997)。Equilibrium Valuation of Foreign Exchange Claims。Journal of Finance，52(2)，799-826。  new window
學位論文
1.Raible, S.(2000)。Levy processes in finance: Theory, numerics and empirical facts(博士論文)。University of Freiburg，Germany。  new window
 
 
 
 
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