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EPMS方法對選擇權價格估計之漸近分佈 = Asymptotic Dis...

凃雅婷

EPMS方法對選擇權價格估計之漸近分佈 = Asymptotic Distribution of the EPMS Estimator for Option Pricing

Record Type:	Language materials, printed : monographic
Paralel Title:	Asymptotic Distribution of the EPMS Estimator for Option Pricing
Author:	凃雅婷,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2012[民101]
Description:	28面圖，表格 : 30公分;
Subject:	P 測度下的平睹過程配適模擬法
Subject:	empirical P-martingale simulation
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/28217167562533389845
Notes:	106年10月31日公開
Notes:	參考書目：面23
Summary:	本文推導出 Empirical P-martingale Simulation (EPMS) 方法對金融衍生性產品價格估計量的漸近常態分佈。當風險中立測度模型不容易得到時， EPMS是一個容易執行且有效率的方法。文中考慮在 Black-Scholes 和 GARCH 模型假設下，蒙地卡羅法， Empirical Martingale Simulation (EMS) 以及 EPMS 在計算歐式買權的有效性。模擬結果顯示本文所推導之漸近分布在樣本路徑達到500時，即可給出令人滿意的逼近。 The asymptotic normality of the empirical P-martingale simulation (EPMS)estimator for nancial derivative pricing is established in this study. The EPMS is an easily implemented and e cient method to compute derivative prices if a risk-neutral model is not convenient to be obtained. The e ciency of the Monte Carlo, empirical martingale simulation (EMS) and EPMS estimators for European call option pricing are compared under the Black-Scholes and GARCH models. Simulation results indicate that the asymptotic distribution serves as a persuasive approximation for samples consisting of as few as 500 simulation paths.

EPMS方法對選擇權價格估計之漸近分佈 = Asymptotic Distribution of the EPMS Estimator for Option Pricing
凃, 雅婷

EPMS方法對選擇權價格估計之漸近分佈 = Asymptotic Distribution of the EPMS Estimator for Option Pricing / 凃雅婷撰 - [高雄市] : 撰者, 2012[民101]. - 28面 ; 圖，表格 ; 30公分.
106年10月31日公開參考書目：面23.
P 測度下的平睹過程配適模擬法empirical P-martingale simulation

EPMS方法對選擇權價格估計之漸近分佈 = Asymptotic Distribution of the EPMS Estimator for Option Pricing
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300 $a 參考書目：面23
314 $a 指導教授：黃士峰教授
328 $a 碩士論文--國立高雄大學統計學研究所
330 $a 本文推導出 Empirical P-martingale Simulation (EPMS) 方法對金融衍生性產品價格估計量的漸近常態分佈。當風險中立測度模型不容易得到時， EPMS是一個容易執行且有效率的方法。文中考慮在 Black-Scholes 和 GARCH 模型假設下，蒙地卡羅法， Empirical Martingale Simulation (EMS) 以及 EPMS 在計算歐式買權的有效性。模擬結果顯示本文所推導之漸近分布在樣本路徑達到500時，即可給出令人滿意的逼近。 The asymptotic normality of the empirical P-martingale simulation (EPMS)estimator for nancial derivative pricing is established in this study. The EPMS is an easily implemented and e cient method to compute derivative prices if a risk-neutral model is not convenient to be obtained. The e ciency of the Monte Carlo, empirical martingale simulation (EMS) and EPMS estimators for European call option pricing are compared under the Black-Scholes and GARCH models. Simulation results indicate that the asymptotic distribution serves as a persuasive approximation for samples consisting of as few as 500 simulation paths.
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