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Parametric Exponential Lévy Models Calibrated To Predict European and American Index Options: An Empirical Study. : 유러피안 인덱스 옵션 및 아메리칸 인덱스 옵션 가격 추정을 위한 지수 레비 모델의 모수 추정에 관한 실증적 연구
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 이재욱 | - |
| dc.contributor.author | 장희수 | - |
| dc.date.accessioned | 2017-07-14T03:27:11Z | - |
| dc.date.available | 2017-07-14T03:27:11Z | - |
| dc.date.issued | 2015-02 | - |
| dc.identifier.other | 000000025621 | - |
| dc.identifier.uri | https://hdl.handle.net/10371/123645 | - |
| dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 산업·조선공학부, 2015. 2. 이재욱. | - |
| dc.description.abstract | 본 논문은 3년간의 S&P100 인덱스 옵션 데이터를 사용하여 지수 레비 모형의 모수를 추정하고 동 기간의 일주일 후의 유러피안 옵션 및 아메리칸 옵션 데이터를 예측하여 실증적으로 비교하였다. 머튼, VG, CGMY, Kou 네 가지의 지수 레비 모델의 파라메터를 캘리브레이션을 통하여 추정하였다. 이를 바탕으로 하여 Carr-Madan 의 푸리에 변형을 통한 유러피안 옵션 가격 추정, 및 아메리칸 옵션 가격을 추정하였다. 마지막으로 같은 모수로부터 추정된 아메리칸 옵션과 유러피안 옵션의 가격 예측 결과를 비교해보았다. 그 결과 매우 짧은 만기에서는 아메리칸 옵션의 가격추정이 유러피안 옵션의 가격 추정보다 더 좋은 결과를 나타냈으나, 만기가 증가함에 따라 빠른 속도로 오차가 증가하는 결괄르 보였다. 콜 옵션 가격의 경우 풋 옵션보다 전체적으로 좋은 추정결과를 가져왔다. 일반적으로 알려져 있듯이 OTM 옵션의 가격예측이 ITM이나 ATM 옵션 가격 예측보다 어려운 것을 확인할 수 있었다. | - |
| dc.description.tableofcontents | 목 차
제 1 장 Introduction 2 제 2 장 Calibration Lévy models 3 제 1 절 Parametric Lévy models 3 제 2 절 Carr-Madans Fourier transform methods for option pricing 5 제 3 절 Calibration 6 제 3 장 Numerical Methods for Pricing American Options 6 제 4 장 Empirical Results 8 제 1 절 Data 8 제 2 절 Calibration Result 11 제 3 절 Pricing European options 16 제 4 절 Pricing American put options 26 제 5 장 Conclusion 31 Reference 32 Abstract 34 표 목차 [Table 1] S&P 100 index European option data description 9 [Table 2] S&P 100 index American option data description 10 [Table 3] Annual information of S&P 100 index European option data 11 [Table 4] Annual information of S&P 100 index American option data 11 [Table 5] Calibration Result of S&P index European Call options 14 [Table 6] Calibration Result of S&P index European Put options 15 [Table 7] Prediction Result of S&P index European Call options ver1. 21 [Table 8] Prediction Result of S&P index European Put options ver1. 22 [Table 9] Prediction Result of S&P index European Call options ver2. 24 [Table 10] Prediction Result of S&P index European Put options ver2. 25 [Table 11] Prediction Result of S&P index American Put options ver1. 29 [Table 12] Prediction Result of S&P index American Put options ver2. 30 그림 목차 [Figure 1] The European call option prices according to the moneyness Merton and Variance-Gamma model : blue line is call option prices estimated with calibrated parameter sets and dots are true option prices. : Oct.13. 2010 12 [Figure 2] The European call option prices according to the moneyness CGMY and Kou model : blue line is call option prices estimated with calibrated parameter sets and dots are true option prices. : Oct.13. 2010 12 [Figure 3] The European put option prices according to the moneyness Merton and VG model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices. : Sep.15. 2010 13 [Figure 4] The European put option prices according to the moneyness CGMY and Kou model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices. : Sep.15. 2010 13 [Figure 5] European and American Options Pricing Procedure by Using Calibrated Parameter Sets 16 [Figure 6] The European call option prediction according to the moneyness Merton model : blue line is call option prices estimated with calibrated parameter sets and dots are true option prices.: Apr. 27. 2011 17 [Figure 7] The European call option prediction according to the moneyness V-G model : blueline is call option prices estimated with calibrated parameter sets and dots are true option prices.: Apr. 27. 2011 17 [Figure 8] The European call option prediction according to the moneyness CGMY model : blue line is call option prices estimated with calibrated parameter sets and dots are true option prices.: Apr. 27. 2011 18 [Figure 9] The European call option prediction according to the moneyness Kou model : blue line is call option prices estimated with calibrated parameter sets and dots are true option prices.: Apr. 27. 2011 18 [Figure 10] The European put option prediction according to the moneyness Merton model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices.: May. 30. 2012 19 [Figure 11] The European put option prediction according to the moneyness V-G model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices.: May. 30. 2012 19 [Figure 12] The European put option prediction according to the moneyness CGMY model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices.: May. 30. 2012 20 [Figure 13] The European put option prediction according to the moneyness Kou model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices.: May. 30. 2012 20 [Figure 14] Prediction measure plot and S&P 100 index time series 23 [Figure 15] The American put option prediction according to the moneyness Merton model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices.: May. 02. 2012 27 [Figure 16] The American put option prediction according to the moneyness V-G model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices.: May. 02. 2012 27 [Figure 17] The American put option prediction according to the moneyness CGMY model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices.: May. 02. 2012 28 [Figure 18] The American put option prediction according to the moneyness Kou model : blue line is put option prices estimated with calibrated parameter sets and dots are true option prices.: May. 02. 2012 28 | - |
| dc.format | application/pdf | - |
| dc.format.extent | 2498401 bytes | - |
| dc.format.medium | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | 서울대학교 대학원 | - |
| dc.subject | Option markets | - |
| dc.subject | Exponential Lévy models | - |
| dc.subject | Model calibration and selection | - |
| dc.subject | Constrained optimization | - |
| dc.subject.ddc | 623 | - |
| dc.title | Parametric Exponential Lévy Models Calibrated To Predict European and American Index Options: An Empirical Study. | - |
| dc.title.alternative | 유러피안 인덱스 옵션 및 아메리칸 인덱스 옵션 가격 추정을 위한 지수 레비 모델의 모수 추정에 관한 실증적 연구 | - |
| dc.type | Thesis | - |
| dc.contributor.AlternativeAuthor | Jang Huisu | - |
| dc.description.degree | Master | - |
| dc.citation.pages | vi, 34 | - |
| dc.contributor.affiliation | 공과대학 산업·조선공학부 | - |
| dc.date.awarded | 2015-02 | - |
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