Please use this identifier to cite or link to this item:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34078
Title: | 二維觸價選擇權之評價 Pricing Barrier Options in Two Dimensions |
Authors: | Vader Lin 林維德 |
Advisor: | 呂育道(Yuh-Dauh Lyuu) |
Keyword: | 觸價選擇權,多資產, Barrier Option,Multiple Assets, |
Publication Year : | 2006 |
Degree: | 碩士 |
Abstract: | 價值取決於兩個資產的選擇權可被5-jump模型評價。然而,在不同資產上分別有觸價條件時,此模型產生的價格變動幅度過大。本篇論文建立一個更有彈性的9-jump模型,能同時準確地到達兩個觸價條件。並且此模型的收斂行為平順許多。 Option whose value depends on two assets can be priced by a 5-jump model. However, when dealing with more than one barrier on different underlying assets, this model generates prices that oscillate too much. This thesis establishes a more flexible 9-jump model that can hit both barriers exactly. This model results in a much smoother convergence behavior. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34078 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 財務金融學系 |
Files in This Item:
File | Size | Format | |
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ntu-95-1.pdf Restricted Access | 273.61 kB | Adobe PDF |
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