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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
| dc.contributor.author | Vader Lin | en |
| dc.contributor.author | 林維德 | zh_TW |
| dc.date.accessioned | 2021-06-13T05:53:35Z | - |
| dc.date.available | 2006-07-28 | |
| dc.date.copyright | 2006-07-28 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-07-03 | |
| dc.identifier.citation | [1] BARDIA KAMRAD AND PETER RITCHKEN. “Multinomial Approximating Models for Options with k State Variables.” Management Science, 37, No. 12 (December 1991), 1640–1652.
[2] YUH-DAUH LYUU, Financial Engineering and Computation. Cambridge University, UK, 2002. [3] PETER RITCHKEN. “On Pricing Barrier Options.” Journal of Derivatives, 3, No.2 (Winter 1995), 19–28. [4] MARK RUBINSTEIN. “Implied Binomial Tree.” Journal of Finance, 49, No.3 (July 1994), 771–818. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34078 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T05:53:35Z (GMT). No. of bitstreams: 1 ntu-95-R93723024-1.pdf: 280178 bytes, checksum: f100694f1f3752602f13f859ba324dc8 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | 1 Introduction ... 1
1.1 Introduction ... 1 1.2 Organization of This Thesis ... 2 2 Background ... 3 2.1 A 5-Jump Model ... 3 3 A 9-Jump Model ... 5 4 Numerical Results ... 9 4.1 Evaluation of Spread Options ... 9 4.2 Evaluation of European Dual-strike Options with One Barrier ... 10 4.3 Evaluation of European Dual-strike Options with Two Barriers ... 11 5 Conclusions ... 12 Bibliography ... 13 | |
| dc.language.iso | en | |
| dc.title | 二維觸價選擇權之評價 | zh_TW |
| dc.title | Pricing Barrier Options in Two Dimensions | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,金國興 | |
| dc.subject.keyword | 觸價選擇權,多資產, | zh_TW |
| dc.subject.keyword | Barrier Option,Multiple Assets, | en |
| dc.relation.page | 13 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2006-07-04 | |
| 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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