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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/28199完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
| dc.contributor.author | Fung-Ting Chen | en |
| dc.contributor.author | 陳芳婷 | zh_TW |
| dc.date.accessioned | 2021-06-13T00:02:34Z | - |
| dc.date.available | 2007-08-03 | |
| dc.date.copyright | 2007-08-03 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-29 | |
| dc.identifier.citation | Andersen, L., and Broadie, M., 2004, “A Primal-Dual Simulation Algorithm for Pricing Multi-Dimensional American Options,” Management Science, Vol.50, pp. 1222–1234.
Barraquand, J., and D. Martineau, 1995, “Numerical Valuation of High Dimensional Multivariate American Securities,” Journal of Financial and Quantitative Analysis, Vol.30, pp. 383–405. Bossaerts, P., 1989, “Simulation Estimators of Optimal Early Exercise,” Working paper, Carnegie-Mellon University. Boyle, P., 1988, “A lattice Framework for Option Pricing with Two State Variables,” Journal of Financial and Quantitative Analysis, Vol.23, pp. 1-12. Boyle, P., J. Evnine, and S. Gibbs, 1989, “Numerical Evaluation of Multivariate Contingent Claims,” Review of Financial Studies, Vol.2, pp. 241-250. Brennan, M., and E. Schwartz, 1977, “The Valuation of American Put Options,” Journal of Finance, Vol.32, pp. 449-462. Broadie, M., and P. Glasserman, 1997, “Pricing American-Style Securities Using Simulation,” Journal of Economic Dynamics and Control, Vol.21, pp. 1323-1352. Cox, J., S. Ross, and M. Rubinstein, 1979, “Option Pricing: A Simplified Approach,” Journal of Financial Economic, Vol.7, pp. 229-263. Duan, J. C., and Simonato, J. G., 1998, “Empirical Martingale Simulation for Asset Prices,” Management Science, Vol.44, pp. 1218-1233. Longstaff, F. A., and Schwartz, E. S., 2001, “Valuing American Options by Simulation: a Simple Least-Squares Approach,” The Review of Financial Studies, Vol.14, pp. 113-147. Mitchell, A., and D. F. Griffiths, 2001, “Finite Difference and Related Methods for Differential Equations,” John Wiley & Sons, New York. Rasmussen, N., S., 2005, “Control Variates for Monte Carlo Valuation of American Options,” Journal of Computational Finance, Vol.9, pp. 83-117. Stulz, R. M., 1982, “Options On the Minimum or Maximum of Two Risky Assets,” The Journal of Financial Economics, Vol.10, pp. 161-185. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/28199 | - |
| dc.description.abstract | 自從Longstaff and Swartz (2001)提出的最小平方估計法 (least-squares Monte Carlo)，解決了蒙地卡羅模擬法難以用於美式選擇權之訂價的一大缺點。於是，蒙地卡羅模擬法簡單、易懂，且易於應用至多資產商品的特性，使得蒙地卡羅模擬廣泛地被用於選擇權的評價問題上。然而，蒙地卡羅模樣通常需要大量的模擬路徑，才能得到較好的估計；這使得評價變得極為耗時。
本研究即是探討兩種降低變異的方法，希望能藉此提昇蒙地卡羅的模擬效率。這兩種降低變異的方法分別是由Rasmussen (2005)以及Duan and Simonato (2001)所提出來的。本研究將之分別應用到美式賣權及極大值買權的評價，結果發現由Rasmussen (2005)所提出來的方法，皆能有效地降低模擬的變異程度。 | zh_TW |
| dc.description.abstract | For many complex options, analytical solutions are not available. In these cases a Monte Carlo simulation is computationally inefficient, the variance reduction method can be used to improve the efficiency of a Monte Carlo simulation.
In this thesis we apply the two variance reduction methods proposed by Rasmussen (2005) and Duan and Simonato (1998) in American option pricing. We find that the variance reduction method proposed by Rasmussen can provide significant improvement of efficiency than Duan and Simonato even the combination of these two methods does not perform better than only using the variance reduction methods proposed by Rasmussen. We also apply this variance reduction method proposed by Rasmussen in the valuation of two-, three- or five max-call options and we find that they can provide significant improvement both on efficiency and accuracy for pricing. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T00:02:34Z (GMT). No. of bitstreams: 1 ntu-96-R94723030-1.pdf: 417029 bytes, checksum: 4533bdebb6d9e0be3fffe345f9759556 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | Content
1. Introduction ……………………………………………………………1 2. The American Option Valuation Problem.…………………………....6 3. Monte Carlo Valuation with Variance Reduction Method.………......8 3.1. Control Variates Method ……………………………………….8 3.2. Empirical Martingale Simulation ……………………………..12 4. The LSM Approach…………………………………………………...15 4.1. The Choice of Basis Functions…………………..…………....16 4.2. Accuracy, Stability and Convergence………..……………......17 4.3. The Control Variates Improved LSM………..……..………....18 5. Numerical Results…………………………………………………….21 5.1. American Put…………………………………………………..21 5.2. American Rainbow Options…………………………………...28 6. Conclusion…………………………………………………………......33 Bibliography…………………………………………………………......34 | |
| dc.language.iso | en | |
| dc.subject | 最小平方蒙地卡羅模擬法 | zh_TW |
| dc.subject | 控制變異數法 | zh_TW |
| dc.subject | least-square Monte Carlo simulation | en |
| dc.subject | control variates method | en |
| dc.title | 控制變異數法在美式選擇權之應用 | zh_TW |
| dc.title | Variance Reduction Methods for Monte Carlo Valuation of American Options | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時(Tian-Shyr Chen),金國興 | |
| dc.subject.keyword | 最小平方蒙地卡羅模擬法,控制變異數法, | zh_TW |
| dc.subject.keyword | least-square Monte Carlo simulation,control variates method, | en |
| dc.relation.page | 35 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-31 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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