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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29090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 | Tzu-chun Chen | en |
| dc.contributor.author | 陳姿君 | zh_TW |
| dc.date.accessioned | 2021-06-13T00:39:24Z | - |
| dc.date.available | 2007-07-31 | |
| dc.date.copyright | 2007-07-31 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-25 | |
| dc.identifier.citation | References
[1]Boyle, P. P. 1986. Option valuation using a three-jump process. International Options Journal 3, pages 7-12. [2]Boyle, P. P., S. H. Lau. 1994. Bumping up against the barrier with the binomial method. J. Derivatives 1(4) 6–14. [3]Cox, J. C., S. A. Ross, M. Rubinstein. 1979. Option pricing: a simplified approach. J. Financial Econom. 7(3) 229–263. [4]Diener, F., M. Diener. 2004. Asymptotics of the price oscillations of a European call option in a tree model. Math. Finance 14(2) 271–293. [5] Leisen, D., M. Reimer. 1996. Binomial models for option valuation – examining and improving convergence, Appl. Math. Finance 3: 319–346. [6]Leisen, D., P. J. 1998. Pricing the American put option: A detailed convergence analysis for binomial models. J. Econom. Dynam.Control 22(8–9) 1419–1444. [7]Ritchken, P. 1995. On pricing barrier options. J. Derivatives 3(2) 19–28. [8]Ritchken, P. and I. Chuang. 1999. Interest rate option pricing with volatility humps. Review of derivatives research. 3,237-262. [9]San-Lin Chung, Pai-Ta Shih. March 2007. Generalized Cox-Ross-Rubinstein binomial models. Management Science. Vol. 53, No. 3, pp. 508–520 [10]Tian, Y. 1993. A modified lattice approach to option pricing. J. Futures Markets 13(5) 563–577. [11]Tian, Y. 1999. A flexible binomial option pricing model. J. Futures Markets 19(7) 817–843. [12] Walsh, J. B., and O. D. Walsh. 2002. Embedding and the convergence of the binomial and trinomial tree schemes. technical report, University of British Columbia, Department of Mathematics. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29090 | - |
| dc.description.abstract | 在此篇論文中，我們實做了Chung 與Shih兩位博士於2007年三月所提出的GCRR (Generalized Cox-Ross-Rubinstein)二元樹模型，並應用此模型評價單障礙選擇權，以及推廣到評價雙障礙選擇權。 由於Ritchken 模型是目前市場上評價障礙選擇權最常用的模型，因此我們在評價障礙選擇方面做了GCRR與Ritchken 模型的收斂速度與計算時間的比較分析。我們發現，在單障礙選擇權方面，雖然Rithcken 模型能比GCRR 模型用更少的期間收斂到障礙選擇權的正確價值，但GCRR 模型的計算複雜度比Ritchken 模型的計算複雜度小，因此在同樣多的期間下，能以更快的速度算出答案。我們也建議了一個應用GCRR 模型來評價雙障礙選擇權的方式，雖然需要較多的期間才能獲得答案，但卻能以較短的計算複雜度來換取計算的效率。 | zh_TW |
| dc.description.abstract | In this thesis, we implement the GCRR model (Generalized Cox-Ross-Rubinstein binomial model) provided by Chung and Shih to price single-barrier options and double-barrier options. We compare the pricing results of the GCRR model with the Ritchken model. We find that although the Ritchken model converges to true price more quickly, the speed of calculation of the GCRR model is faster than the Rithcken model and uses less space. Moreover, we suggest a way similar to Ritchekn (1991) to pricing double-barrier options under the GCRR model. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T00:39:24Z (GMT). No. of bitstreams: 1 ntu-96-R94922003-1.pdf: 270715 bytes, checksum: cbcc085f01d9d04951e8154cb723f099 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | Contents
1.Introduction(1) 2. The CRR Model(3) 3. The Ritchken Model(5) 4. The GCRR Model(8) 5. Pricing single-barrier options using the GCRR model(11) 6. Pricing double-barrier options using the GCRR model(17) 7. Comparison of the GCRR and Ritchken models(24) 8. Conclusion(27) Reference(28) Appendix A(29) Appendix B(30) | |
| dc.language.iso | en | |
| dc.title | 以GCRR模型和Ritchken模型評價障礙選擇權之實做與收斂比較 | zh_TW |
| dc.title | Convergence Comparison of GCRR and Ritchken Models | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時(Tian-Shyr Dai),金國興(Kau-shun King) | |
| dc.subject.keyword | 單障礙選擇權,雙障礙選擇權,GCRR模型,CRR模型,二元樹模型,三元樹模型,Ritchken模型,收斂, | zh_TW |
| dc.subject.keyword | Single-Barrier Option,Double-Barrier Option,GCRR Model,CRR Model,Binomial Models,Trinomial Models,Ritchken Models,Convergence, | en |
| dc.relation.page | 31 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-25 | |
| dc.contributor.author-college | 電機資訊學院 | zh_TW |
| dc.contributor.author-dept | 資訊工程學研究所 | zh_TW |
| 顯示於系所單位： | 資訊工程學系 | |
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