國際油價波動性預測及其在中油油價相關定價之應用

• Main Author: 趙旨聖
• Other Authors: 鄭宗琳
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/78305133395325085299

碩士 === 國立彰化師範大學 === 統計資訊研究所 === 96 === Recently, as gas price continues going up, it attracts more and more attention from every aspect of the world. People rely on petroleum tremendously. Thanks to the increase of gas price, Chinese Petroleum Company (CPC) began to consider the formation of a more liquid and crystallizing mechanism of the gas price in order not to cause a severe deficit. In the past two years, to avoid the affection of presidential election, the government tried to change the pricing rule as soon as people muttered at the high gas price. However, as it has been shown, any adjustment of the gas price leads to a controversy. Therefore, it is necessary to construct a tractable way on the one hand to achieve the legal surplus of CPC and on the other to reduce grumbles from people. In this thesis, we are trying to construct a reasonable model of gas price through some renowned econometrical and financial volatility models, e.g., Asian option model, American option model, European option model, ARCH, GARCH, EGARCH, and IGARCH models . . . etc. Before the construction of the models, we also analyzed the relationship between the price of national crude oil price and the CPC oil price and found that no matter how the CPC adjusted the gas price, we still can find the linear relation between theWTI index and the CPC oil price.