金融危機下流動性對於GARCH選擇權評價的影響

Liquidity on GARCH Option Pricing Error in Financial Crisis

陳韋伸(Wei-Shen Chen)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.02654

摘要

無資料

關鍵字

Black-Scholes選擇權定價模型 ； HN GARCH模型 ； North American Industry Groups ； MLE分析 ； 流動性

並列摘要

Many empirical researches have indicated that the Black-Scholes option pricing model demonstrate systematic biases due to some unreasonable assumptions. In practice, Black-Scholes implied volatilities tend to vary depending on moneyness and time to maturities. In response to this problem, many researchers have devoted themselves to creating new option pricing models. In this paper, the pricing efficiency of Heston and Nandi GARCH (HN GARCH) model is examined on the AMEX option market. Analyses are then carried out using the MLE method on different categories of companies. It is found that, while HN GARCH model has smaller valuation errors overall, they appear to be ill-suited for valuation of small trading volume companies and display notable pricing error for options of high P/E ratio companies. They do, however, do a good job modeling the option prices of higher liquidity companies.

並列關鍵字

Black-Scholes option pricing model ； HN GARCH model ； North American Industry Groups ； MLE method ； Liquidity

參考文獻

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