| Summary: | 碩士 === 國立臺北大學 === 統計學系 === 102 === This study focuses on the application of Wang transform to the pricing of TAIEX option.
Wang transform is simple and intuitive, which applies an inverse distortion operator to the sample data to estimate the option prices.
In this thesis, we compare the results of Wang transform pricing with those of Variance Gamma model and Black Scholes model.
It will be shown that when the strike price is in the money, results are very close to the market prices.
But when the strike price is out the money, the pricing of Variance Gamma model and the Black and Scholes model become unstable.
Wang transform performs better in this case than the other two, although there is still a gap between the market prices.
Thus we conclude that Wang transform is better in TAIEX option pricing than Variance Gamma model and Black and Scholes model.
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