請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/10099
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 姜祖恕 | |
dc.contributor.author | Shan-Chi Hsu | en |
dc.contributor.author | 許姍祺 | zh_TW |
dc.date.accessioned | 2021-05-20T21:01:51Z | - |
dc.date.available | 2013-08-04 | |
dc.date.available | 2021-05-20T21:01:51Z | - |
dc.date.copyright | 2011-08-04 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-07-19 | |
dc.identifier.citation | [1] J. P. Fouque, G.Papanicolaou, and R. K. Sircar (2000). Derivatives in Financial
Markets with Stochastic Volatility. Cambrige University Press. [2] R. Z. Khasminskii and G. Yin (2005). Uniform Asymptotic Expansions for Pricing European Options. Appl. Math. Optim. 52: 279-296. [3] P. Wilmott, S. Howison, and J. Dewynne (1996). Mathematics of Financial Derivatives: A Student Introduction. Cambridge University Press. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/10099 | - |
dc.description.abstract | 在本文中,我們計算出在隨機波動率模型下的歐式下出局選擇權的均勻漸近展開,其中波動率的隨機性來自一具備均數復歸特性的隨機過程。並於文末針對此一計算模型在以文內提出的方式進行修正後,是否能求得更為精確之選擇權價格估計值一點進行討論。 | zh_TW |
dc.description.abstract | We calculate the uniform asymptotic expansion for European down-and-out barrier options under the stochastic volatility model, where the volatility is driven by a mean-reverting diffusion process. We also discuss whether the modified method of uniform asymptotic expansion which we used in the last chapter can approximate the price of option with more accuracy. | en |
dc.description.provenance | Made available in DSpace on 2021-05-20T21:01:51Z (GMT). No. of bitstreams: 1 ntu-100-R97221041-1.pdf: 310995 bytes, checksum: 7fae4303026e496835acbddd2db0b342 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 摘要 i
Abstract ii Chapter 1 Introduction 2 Chapter 2 Asymptotic Expansion for European Derivatives 4 Chapter 3 Uniform Asymptotic Expansion for European Derivatives 14 Chapter 4 Down-and-Out Barrier Options 24 Chapter 5 Uniform Asymptotic Expansion for Down-and-Out Barrier Options 31 Bibliography 41 | |
dc.language.iso | zh-TW | |
dc.title | 歐式下出局選擇權之均勻漸近展開 | zh_TW |
dc.title | Uniform Asymptotic Expansions for European Down-and-Out Barrier Options | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 張志中 | |
dc.contributor.oralexamcommittee | 許順吉,韓傳祥 | |
dc.subject.keyword | 歐式障礙選擇權,均數復歸隨機過程,選擇權定價,隨機波動率,均勻漸近展開, | zh_TW |
dc.subject.keyword | European barrier option,Mean-reverting process,Option pricing,Stochastic volatility,Uniform asymptotic expansion, | en |
dc.relation.page | 41 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2011-07-20 | |
dc.contributor.author-college | 理學院 | zh_TW |
dc.contributor.author-dept | 數學研究所 | zh_TW |
顯示於系所單位: | 數學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-100-1.pdf | 303.71 kB | Adobe PDF | 檢視/開啟 |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。