The Pricing And Hedging Analysis Of The Risk Neutral Probability Function In the Taiwan Stock Index Option Market
碩士 === 國立中正大學 === 財務金融所 === 94 === The main point is to discuss the character of the implied risk neutral probability density functions about the Taiwan stock index option market. We adopt the Black option pricing model, LAP option pricing model, Corrado and Su option pricing model, asymmetry ch-squ...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34367822954909813442 |
| Summary: | 碩士 === 國立中正大學 === 財務金融所 === 94 === The main point is to discuss the character of the implied risk neutral probability density functions about the Taiwan stock index option market. We adopt the Black option pricing model, LAP option pricing model, Corrado and Su option pricing model, asymmetry ch-square option pricing model, and the mixed normal option pricing model to undertake our empirical test. In the empirical analysis about these models, we undertake the in-sample analysis and the out of sample analysis to compare the pricing performance among these option pricing models. In addition, we undertake the analysis of the hedging performance about these option pricing models. We attempt to provide investors one of the best option pricing models so that investors can use the option pricing model to proceed pricing and hedging in the option market.
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