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| 研究生： |
林家豪 Chia-hao Lin |
|---|---|
| 論文名稱： |
探討 Heston模型下的參數校準：以外匯、 台指選擇權為例 Discussion Heston Model parameters of calibration: Based on FX option、TXO option |
| 指導教授： |
吳庭斌
須上苑 |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
理學院 - 數學系 Department of Mathematics |
| 論文出版年： | 2015 |
| 畢業學年度： | 103 |
| 語文別： | 中文 |
| 論文頁數： | 80 |
| 中文關鍵詞： | 參數校準 |
| 相關次數： | 點閱：19 下載：0 |
| 分享至: |
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首先，我們目前最知名的和流行的所有隨機波動模型，Heston模型，並提供Heston歐式期權定價公式的詳細推導。
第二，對於一個模型是在實踐中是有用的，它需要返回的歐式期權當前的市場價格。這意味著，我們需要適合我們模型的參數來配對市場波動度，並解釋如何校準Heston模型市場資料。
First, we present the most well-known and popular of all stochastic volatility models, the Heston model, and provide a detailed derivation of the Heston European option valuation formula.
Second, for a model to be useful in practice, it needs to return the current market price of European options. That implies that we need to fit the parameters of our model to market implied volatilities and explain how to calibrate the Heston model to market data.
Hurn A.S., Lindsay K.A. and McClelland A. J. (2012), “Estimating the Parameters of
Stochastic Volatility Models using Option Price Data“, working paper, School of
Economics and Finance, Queensland University of Technology
Heston S. L. (1993), “A Closed-Form Solution for Options with Stochastic Volatility
with Applications to Bond and Currency Options”, The Review of Financial
Studies,6,327-343.
Melino A. and Turnbull S.M. (1990),“ Pricing Foreign Currency Options With
Stochastic Volatility”, Journal of Econometrics, 45,239-265.
Rouah F. D. (2013),“The Heston Model and its Extensions in Matlab and C#”,
John Wiley & Sons Inc. ,New York.
Wilmott P. (2013) ,“The Best of Wilmott 1: Incorporating the Quantitative Finance
Review”, John Wiley & Sons Inc. ,New York.
Yeh P.C. (2006),“Calibration and numerical schemes for Heston model with
applications to TAIEX option pricing.”, National Cheng Kung University.
Jim Gatheral (2011), “The volatility surface: a practitioner's guide, John Wiley & Sons
