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考慮有隨機跳躍頻率強度的GARCH模型之巨災選擇權定價 = Pricin...

國立高雄大學統計學研究所

考慮有隨機跳躍頻率強度的GARCH模型之巨災選擇權定價 = Pricing Catastrophe Options in GARCH-Jump with Stochastic Intensity Models

Record Type:	Language materials, printed : monographic
Paralel Title:	Pricing Catastrophe Options in GARCH-Jump with Stochastic Intensity Models
Author:	曾品源,
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:	32面圖，表格 : 30公分;
Subject:	巨災選擇權
Subject:	Catastrophe options
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/74064922735941890188
Notes:	106年10月31日公開
Notes:	參考書目：面24-25
Notes:	含附錄
Summary:	本文利用Esscher 轉換法推導出在有隨機跳躍頻率強度的GARCH的風險中立測度模型，並且用來定價巨災權益賣權(CatEPut)。CatEPut 會處理巨災所造成的損失進而保護公司的股東權益。模擬研究指出當巨災發生頻率，跳躍項的分佈其平均數、變異數和到期日增加時巨災權益賣權的定價上升。 A risk-neutral GARCH-Jump model with stochastic intensity is established bythe Esscher transform and is applied to evaluate the price of a catastrophe equity put (CatEPut) option. The CatEPut contract provides protection for the shareholders of the underlying company to handle catastrophic losses. Numerical results indicatethat the CatEPut prices increase as the intensity rate, the expected value of the jump size, the variance of the jump size or the time to maturity increasing.

考慮有隨機跳躍頻率強度的GARCH模型之巨災選擇權定價 = Pricing Catastrophe Options in GARCH-Jump with Stochastic Intensity Models
曾, 品源

考慮有隨機跳躍頻率強度的GARCH模型之巨災選擇權定價 = Pricing Catastrophe Options in GARCH-Jump with Stochastic Intensity Models / 曾品源撰 - [高雄市] : 撰者, 2012[民101]. - 32面 ; 圖，表格 ; 30公分.
106年10月31日公開參考書目：面24-25含附錄.
巨災選擇權Catastrophe options

考慮有隨機跳躍頻率強度的GARCH模型之巨災選擇權定價 = Pricing Catastrophe Options in GARCH-Jump with Stochastic Intensity Models
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328 $a 碩士論文--國立高雄大學統計學研究所
330 $a 本文利用Esscher 轉換法推導出在有隨機跳躍頻率強度的GARCH的風險中立測度模型，並且用來定價巨災權益賣權(CatEPut)。CatEPut 會處理巨災所造成的損失進而保護公司的股東權益。模擬研究指出當巨災發生頻率，跳躍項的分佈其平均數、變異數和到期日增加時巨災權益賣權的定價上升。 A risk-neutral GARCH-Jump model with stochastic intensity is established bythe Esscher transform and is applied to evaluate the price of a catastrophe equity put (CatEPut) option. The CatEPut contract provides protection for the shareholders of the underlying company to handle catastrophic losses. Numerical results indicatethat the CatEPut prices increase as the intensity rate, the expected value of the jump size, the variance of the jump size or the time to maturity increasing.
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