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    Title: 彩虹選擇權評價--傳統與模糊化Stulz模型之比較
    Other Titles: Comparison of Rainbow Option Pricing—Traditional and Fuzzy Stulz Model
    Authors: 李沃牆;黃淑菁
    Contributors: 淡江大學財務金融學系
    Keywords: 準蒙地卡羅法;Sobol低差異序列;模糊理論;Rainbow option;Quasi-Monte Carlo simulation;MGARCH;Fuzzy theory
    Date: 2006-01
    Issue Date: 2013-03-12 13:02:36 (UTC+8)
    Publisher: 臺中縣:朝陽科技大學管理學院
    Abstract: 本文自行設計金融類、傳產類、電子類及混合類四種組合之雙資產彩虹選擇權。根據過去學者研究之結果,以準蒙地卡羅法(Sobol低差異序列)模擬標的資產價格,再以MGARCH模型估計波動率,又採用移動相關係數,並代入Stulz評價模型,如此便可得到彩虹選擇權的理論價格。接著,藉由模糊化標的資產價格、波動率、相關係數以及距到期期間,形成模糊化Stulz評價模型再比較兩模型之差異;模糊化Stulz模型與傳統Stulz模型之評價結果經Wilcoxon符號等級檢定,顯示本文所新建立之模糊化Stulz模型是一種可行的評價方法。
    Relation: 朝陽商管評論=Chaoyang Business and Management Review 5(1),頁23-57
    DOI: 10.29630%2fCBMR.200601.0002
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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