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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34119完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Cheng Hsiung Shu | en |
| dc.contributor.author | 蘇正雄 | zh_TW |
| dc.date.accessioned | 2021-06-13T05:54:58Z | - |
| dc.date.available | 2006-07-13 | |
| dc.date.copyright | 2006-07-13 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-06-30 | |
| dc.identifier.citation | [1] E. Benhamou, “Fast Fourier Transform for Discrete Asian Options.” Journal of Computational Finance 6, 2002, 49–61.
[2] A. Carverhill and L. Clewlow, “Flexible Convolution.” Risk 3(4), 1990, 25–29. [3] H.Y. Cho and H.Y. Lee, “A Lattice Model for Pricing Geometric and Arithmetic Average Options.” Journal of Financial Engineering 6(3), 179–191. [4] W.W.-Y. Hsu and Y.-D. Lyuu, “A Convergent Quadratic-Time Lattice Algorithm for Pricing European-Style Asian Options.” In Proceedings of LASTED International Conference on Financial Engineering and Applications, 2004. [5] J.C. Hull and A. White, “Efficient Procedures for Valuing European and American Path-Dependent Options.” Journal of Derivatives 1, 1993, 21–23. [6] A.G.Z. Kemna and A.C.F. Vorst, “A Pricing Method for Options Based on Average Asset Values.” Journal of Banking and Finance 14, 1990, 113–129. [7] E. Levy, “Pricing European Average Rate Currency Options.” Journal of International Money and Finance 11, 1992, 474–491. [8] E. Levy and S. Turnbull, “Average Intelligence.” Risk 5(2), 1992, 5–9. [9] S.-L. Liao and C.-W. Wang, “Pricing Arithmetic Average Reset Options with Control Variates.” Journal of Derivatives, Winter 2002, 59–74. [10] F.A. Longstaff, “Hedging Interest Risk with Options on Average Interest Rates.” Journal of Fixed Income, March, 1995, 37–45. [11] J. A. Rice, Mathematical Statistics and Data Analysis, 2nd Edition. Belmont, CA: Duxbury Press, 1994. [12] L.C.G. Rogers and Z. Shi, “The Value of an Asian Option.” Journal of Applied Probability 32, 1995, 1077–1088. [13] S. Turnbull and L. Wakeman, “A Quick Algorithm for Pricing European Average Options.” Journal of Financial and Quantitative Analysis 26, 1991, 377–289. [14] J.E. Zhang, “A Semi-analytical Method for Pricing and Hedging Continuously Sampled Arithmetic Average Rate Options.” Journal of Computational Finance 5(1), 2001, 59–79. [15] J.E. Zhang, “Pricing Continuously Sampled Asian Options with Perturbation Method.” Journal of Futures Markets 23(6), 2003, 535–560. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34119 | - |
| dc.description.abstract | This thesis investigates the fast Fourier transform-based pricing algorithm for discrete Asian options by Benhamou [1]. We compare it with other methods and combine it with extrapolation to increase numerical accuracy. We also apply it to the continuous case by using extrapolation. Running the algorithm with different numbers of grid points, we observe the convergence of option values both in the continuous case and in the discrete case. The disadvantages of the algorithm are also discussed. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T05:54:58Z (GMT). No. of bitstreams: 1 ntu-95-R93922111-1.pdf: 191356 bytes, checksum: 91aa1710e5c5d28408c1e6e4aff8605b (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | 1.Introduction 1
2.Background 5 3.The Fourier Convolution Method 8 3.1 Steward and Hodges factorization ﹒﹒ 9 3.2 Re-centering the densities﹒﹒﹒﹒﹒﹒ 11 3.3 The interpolation formula﹒﹒﹒﹒﹒﹒﹒ 12 3.4 The pricing algorithm﹒﹒﹒﹒﹒﹒﹒﹒﹒ 14 3.5 The choice of parameters﹒﹒﹒﹒﹒﹒﹒ 14 4.Numerical Results 16 4.1 Discrete case﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 16 4.2 Continuous case﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 17 5.Conclusions 20 | |
| dc.language.iso | en | |
| dc.subject | 傅立葉轉換 | zh_TW |
| dc.subject | 機率密度函數 | zh_TW |
| dc.subject | 連續型亞式選擇權 | zh_TW |
| dc.subject | 旋積 | zh_TW |
| dc.subject | 外插法 | zh_TW |
| dc.subject | 離散型亞式選擇權 | zh_TW |
| dc.subject | Extrapolation | en |
| dc.subject | Discrete Asian Option | en |
| dc.subject | Continuous Asian Option | en |
| dc.subject | Fourier Transform | en |
| dc.subject | Convolution | en |
| dc.subject | Probability Density Function | en |
| dc.title | 傅立葉轉換之亞式選擇權評價 | zh_TW |
| dc.title | Pricing Asian Options with Fourier Convolution | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 金國興,戴天時 | |
| dc.subject.keyword | 離散型亞式選擇權,連續型亞式選擇權,傅立葉轉換,旋積,機率密度函數,外插法, | zh_TW |
| dc.subject.keyword | Discrete Asian Option,Continuous Asian Option,Fourier Transform,Convolution,Probability Density Function,Extrapolation, | en |
| dc.relation.page | 25 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2006-06-30 | |
| 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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