請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29616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 | Yu-Jhen Kang | en |
| dc.contributor.author | 康毓真 | zh_TW |
| dc.date.accessioned | 2021-06-13T01:12:20Z | - |
| dc.date.available | 2010-07-27 | |
| dc.date.copyright | 2007-07-27 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-20 | |
| dc.identifier.citation | [1] Andersen,L., and Brotherton-Ratcliffe, R. (1996) Exact Exotics. Risk 9(10): 85–89.
[2] Beaglehole, D.R., Dybvig, P. H., and Zhou, G. (1997) Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation. Financial Analyst Journal 53(1): 62–68. [3] Glasserman, P. (2004) Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag. [4] Joe, H. (1997) Multivariate Models and Dependence Concepts. London: Chapman & Hall. [5] Karatzas, I. and Shreve, S. (1991) Brownian Motion and Stochastic Calculus. New York: Springer-Verlag. [6] Lyuu, Yuh-Dauh (2002) Financial Engineering and Computation: Principles, Mathematics, Algorithms. UK: Cambridge University Press. [7] Quessette, R. (2002) New Products, New Risks. Risk 15(3): 97–100. [8] Shevchenko, P. (2003) Addressing the Bias in Monte Carlo Pricing for Multi-Asset Options with Multiple Barriers through Discrete Sampling. Journal of Computational Finance 6(3): 1–20. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29616 | - |
| dc.description.abstract | 在評價多資產衍生性金融商品時，一般使用蒙地卡羅模擬(Monte Carlo simulation)，在每一觀察時點模擬出股價再套入報酬公式即可求出理論價值，然後，針對那些屬於連續觀察報酬型態的商品，如果就每個資產每天都模擬出一個股價來，在計算速度上必然會花費許多時間；此外，使用蒙地卡羅來模擬障礙選擇權之路徑時，易有偏差。本論文主要利用布朗橋(Brownian bridge)來調整蒙地卡羅模擬，並用之來評價兩個具有彩虹式障礙選擇權型態的結構型商品；相較於傳統蒙地卡羅模擬方法，使用布朗橋調整之蒙地卡羅更能快速地收斂至實際價格。 | zh_TW |
| dc.description.abstract | This thesis develops a fast Monte Carlo approach to price multi-asset barrier options, the so-called rainbow barrier options. We develop a computational method based on the Brownian bridge concept to find the exiting probabilities
for a multivariate stochastic process. Compared with the standard Monte Carlo simulation to estimate the option value that the assets are continuously monitored, our method converges rapidly. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T01:12:20Z (GMT). No. of bitstreams: 1 ntu-96-R94723063-1.pdf: 388234 bytes, checksum: a94e42def6726158b44042ff3bc1f22e (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 Mathematical Background . . . . . . . . . . . . . . . . . . . . . . . . . . 4 2.1 Basic Model Settings . . . . . . . . . . . . . . . . . . . . . . . 4 2.2 Notations and Lemmas . . . . . . . . . . . . . . . . . . . . . . 5 2.3 Exiting Probability for Brownian Bridge . . . . . . . . . . . . 6 2.4 Pricing Barrier Options . . . . . . . . . . . . . . . . . . . . . . 7 2.4.1 The Standard Monte Carlo Estimator . . . . . . . . . . 7 2.4.2 Estimators Based on Brownian Bridge . . . . . . . . . 8 2.5 Exiting Probabilities of Continuous-time Maximum and Minimum . . . . 10 3 Altiplano Options . . . . . . . . . . . . . . . . . . . . . . . . . . 12 3.1 Pricing Altiplano Options . . . . . . . . . . . . . . . . . . . . 12 3.1.1 A Pricing Formula . . . . . . . . . . . . . . . . . . . . 12 3.1.2 The Independence Estimator . . . . . . . . . . . . . . . 15 3.1.3 Biased Estimators . . . . . . . . . . . . . . . . . . . . . 16 3.2 Algorithms and Numerical Results . . . . . . . . . . . . . . . 18 4 Annapurna Options . . . . . . . . . . . . . . . . . . . . . 25 4.1 Pricing Annapurna Options . . . . . . . . . . . . . . . . . . . 25 4.1.1 A Pricing Formula . . . . . . . . . . . . . . . . . . . . 25 4.1.2 The Independence Estimator . . . . . . . . . . . . . . . 27 4.1.3 Biased Estimators . . . . . . . . . . . . . . . . . . . . . 28 4.2 Algorithms and Numerical Results . . . . . . . . . . . . . . . 30 5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 | |
| dc.language.iso | en | |
| dc.subject | 多資產選擇權 | zh_TW |
| dc.subject | 路徑相依選擇權 | zh_TW |
| dc.subject | 彩虹選擇權 | zh_TW |
| dc.subject | 蒙地卡羅模擬 | zh_TW |
| dc.subject | 布朗橋. | zh_TW |
| dc.subject | 障礙選擇權 | zh_TW |
| dc.subject | Annapurna option. | en |
| dc.subject | multi-asset option | en |
| dc.subject | barrier option | en |
| dc.subject | path-dependent option | en |
| dc.subject | rainbow option | en |
| dc.subject | Monte Carlo simulation | en |
| dc.subject | Brownian bridge | en |
| dc.subject | Altiplano option | en |
| dc.title | 利用布朗橋快速評價彩虹式障礙選擇權 | zh_TW |
| dc.title | Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,金國興 | |
| dc.subject.keyword | 多資產選擇權,障礙選擇權,路徑相依選擇權,彩虹選擇權,蒙地卡羅模擬,布朗橋., | zh_TW |
| dc.subject.keyword | multi-asset option,barrier option,path-dependent option,rainbow option,Monte Carlo simulation,Brownian bridge,Altiplano option,Annapurna option., | en |
| dc.relation.page | 40 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-20 | |
| 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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|---|---|---|---|
| ntu-96-1.pdf 未授權公開取用 | 379.13 kB | Adobe PDF |
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