TAIEX option pricing : A semiparametric GARCH model approach

• Main Authors: Po-Hung Cheng, 鄭博鴻
• Other Authors: Hui-Ming Pai
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/24777499953810448134

碩士 === 國立臺北大學 === 統計學系 === 103 === This study focuses on TAIEX option pricing by using a semiparametric GARCH approach. This method has been proposed by Alexandru M. Badescu and Reg J. Kulperger (2008) to price S&P500 Index option. Instead of assuming a specific parametric distribution for the driving noise, we estimate the GARCH parameters by Quasi-maximum likelihood technique and then approximate the unknown innovation distribution function using a kernel density estimator based on the standardized residuals. Then we calculate the option prices by Esscher transform measure which is consistent with local risk neutral valuation relationship (LRNVR) for normal GARCH models and use Monte Carlo method. The pricing performances of Black-Scholes model and our semiparametric GARCH approach will be compared.