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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/33806完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 姜祖恕(Tzuu-Shuh Chiang) | |
| dc.contributor.author | Chun-Chieh Wang | en |
| dc.contributor.author | 王俊傑 | zh_TW |
| dc.date.accessioned | 2021-06-13T05:46:30Z | - |
| dc.date.available | 2006-07-19 | |
| dc.date.copyright | 2006-07-19 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-07-13 | |
| dc.identifier.citation | 1 : R. CONT AND P. TANKOV(2004) Financial Modelling with Jump Processes. Chapman & Hall/CRC.
2 : J. KALLSEN AND P. TANKOV(2003) Chararcterization of dependence of multidimensional Lévy Process using Lévy copulas, Journal of Multivariate Analysis, available from http://www.math.jussieu.fr/~tankov/. 3 : P. E. PROTTER(2004) Stochastic Integration and Differential Equation.Springer. 4 : J. JACOD AND A. SHIRYAEV(2002) Limit Theorems for Stochastic Processes.Springer. 5 : P. TANKOV(2004)Simulation and option pricing in Lévy copula models,available from http://www.math.jussieu.fr/~tankov/. 6 : M. SCHWEIZER AND F. ESCHE(2004) Minimal entropy preserves the Lévy property:How and why, available from www.math.tu-berlin.de/~esche/research/FEMS_SPA.pdf. 7 : T. CHEN(1999)Pricing contingent claims on stocks driven by Lévy Process,Ann. Appl. Probab., 9, pp.504-528 8 : S. ROSS(1993) Introduction to Probability Models. Academic press. 9 : S. RESNICK(1987) Extreme values, regular variation and point processes. Springer. 10 : R. NELSEN(1999) An Introduction to Copulas. Springer. 11 : K. SATO(1999) Lévy Process and Infinitely Divisible Distribution. Cambrige University Press. 12 : M. RUTKOWSKI AND T. R. BIELECKI(2001) Credit Risk Modeling, Valuation and Hedging. Springer. 13 : W. H. PRESS, S. A. TEUKOLSKY,W. T. VETTERLING AND B. P. FLANNERY(1992) Numerical Recipes in C:the Art of Scientific Computing. Cambrige University Press. 14 : A. SHIRYAEV(1996) Probability. Springer. 15 : D. APPLEBAUM(2003) Lévy Process and Stochastic Calculus. Cambrige University Press. 16 : W. SCHOUTENS (2003) Lévy Process in Finance:Pricing Financial Derivative. John Wiley & Sons 17 : G. KALLENBERG (1997) Foundations of Modern Probability. Springer. 18 : D. J. DUFFY (2005) Finite Difference methods. John Wiley & Sons. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/33806 | - |
| dc.description.abstract | 這篇論文將近幾年來一些使用關於Lévy過程評價選擇權的方法做出一個整合，並推導出利率隨機之下的歐式選擇權所服從的偏積微分方程式，此外我也介紹了Lévy copula這一個刻畫多維度Lévy過程其分量過程之間相關性的工具。最後嘗試使用模擬的方法觀察且比較此選擇權在不同參數組合之下價格的差異。 | zh_TW |
| dc.description.abstract | This paper reviews some resent work on financial models with Lévy processes and derives the PIDE's related to European option pricing. Lévy copulas are functions that completely characterize the distribution of a mutidimensional Lévy processes given the distributions of each of its components. We also present some simulated results of option prices and compare the prices under different parameter settings. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T05:46:30Z (GMT). No. of bitstreams: 1 ntu-95-R93221032-1.pdf: 616524 bytes, checksum: 853aefa12e4537c3f82fb9d78c3a94a1 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | 謝辭 iv
中文摘要 v Abstract vi Chapter1 Introduction 1 Chapter2 Lévy processes 2 2.1 Characterization of Lévy processes 2 2.2 Poisson random measure and exponential formula 3 2.3 Lévy-Itô decomposition and Lévy-Khinchin representation 4 2.4 Finite variation Lévy process 9 2.5 Some special Lévy processes 9 Chapter3 Itô's formula and its application 12 Chapter4 Change measure 15 Chapter5 Lévy copulas 19 Chapter6 PIDE associated with European option 27 Chapter7 Series representations of Lévy processes 32 Chapter8 Simulation result 37 Bibliography 42 | |
| dc.language.iso | en | |
| dc.subject | copula | zh_TW |
| dc.subject | vy過程 | zh_TW |
| dc.subject | L&eacute | zh_TW |
| dc.subject | PIDE | zh_TW |
| dc.subject | copula | en |
| dc.subject | vy process | en |
| dc.subject | L&eacute | en |
| dc.subject | PIDE | en |
| dc.title | 歐式選擇權相關之偏積微分方程式及
Lévy copulas | zh_TW |
| dc.title | PIDE associated with European options and
Lévy copulas | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 許順吉(Shuenn-Jyi Sheu),韓傳祥(Chuan-Hsiang Han) | |
| dc.subject.keyword | L&eacute,vy過程,copula,PIDE, | zh_TW |
| dc.subject.keyword | L&eacute,vy process,copula,PIDE, | en |
| dc.relation.page | 42 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2006-07-13 | |
| 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 | |
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