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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34837完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 彭?堅(Kenneth James Palmer) | |
| dc.contributor.author | Cheng-Wen Tsai | en |
| dc.contributor.author | 蔡承文 | zh_TW |
| dc.date.accessioned | 2021-06-13T06:35:22Z | - |
| dc.date.available | 2006-01-19 | |
| dc.date.copyright | 2006-01-19 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-01-13 | |
| dc.identifier.citation | [1] AitSahlia,F.,L.Imhof,and T.L.Lai.[2003]: Fast and Accurate Valuation of American Barrier Options. Journal of Computational Finance, vol.7,pp.129-145.
[2] AitSahlia,F.,L.Imhof,and T.L.Lai.[2004]: Pricing and Hedging of American Knock-In Option. The Journal of Derivatives,Spring,44-50. [3] Bjork,T[1998]: Arbitrage Theory in Continuous Time. OXFORD. [4] Boyle, P., Lau, S.H.,[1994].: Bumping up against the barrier with the binomial method. Journal of Derivatives 2,6-14. [5] Cheuk, T.H.F., Vorst, T.C.F.,[1996].: Complex barrier options. Journal of Derivatives 4, 8-22. [6] Etheridge,A.[2002]: A Course in Financial Calculus. University of Oxford [7] Geman, H.&M.Yor,[1996]: Pricing and Hedging double barrier options: A probabilistic approach, Mathematical Finance 6,365-378. [8] Gao,B.&Figlewski,S[1999].: The adaptive mesh model: a new approach to efficient option pricing. Journal of Financial Economics 53 313-351. [9] Gao,B.,Huang,J.Z.&Subrahmanyam,M.[2000].: The Valuation of American barrier options using the decomposition technique. Journal of Economic Dynamics and Control,24,1783-1827. [10] Haug, E. G. [2001].: Closed form valuation of American barrier options.International Journal of Theoretical and Applied Finance,4,355-359. [11] Harrison, M.J.[1985]: Brownian Motion and Stochastic Flow Systems.Wiley. [12] Kwok, Y.K.[1998]: Mathematical Models of Financial Derivatives,Springer. [13] Kwok, Y.K.,& Dai, M.[2004]: Knock-in American Options. The Journal of Futures Markets, Vol.24,No. 2,179-192 [14] Karatzas, I. & Shreve, S.[1988]: Brownian Motion and Stochastic Calculus. Springer Verlag, New York Heidelberg Berlin. [15] Karatzas, I. & Shreve, S.[1998]: Methods of mathematical finance,Springer, New York. [16] N.H. Bingham and R. Kiesel[2004]: Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives Second Edition, Springer. [17] Reimer,M. and Sandmann,K[1995]: A Discrete Time Approach For European and American Barrier Options, SFB303 Discussion Paper B272, http://ideas.repec.org/p/bon/bonsfb/272html [18] Revuz, D. and M. Yor[1991]: Continuous martingales and Brownian motion, Springer, New York. [19] Ritchken, P.,[1995]: On pricing barrier options. Journal of Derivatives 3,19-28. [20] Zhang, P.G.[1997]: Exotic Options. World Scientific , Singapore. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34837 | - |
| dc.description.abstract | 美式障礙選擇權是依照過去股價是否碰觸障礙價格，來衡量此選
擇權是否失效或生效。在Black-Scholes 的假設之下，我們利用Feynamn-Kac的方法推導美式選擇權的評價公式，並且更進一步推倒各種美式障礙選擇權的評價公式。因為美式選擇權與美式障礙選擇權的提早履約邊界有所不同，故可以推出美式障礙選擇權的in-out parity不存在。 | zh_TW |
| dc.description.abstract | An American barrier option is an option contract in which the option holder receives an American option or becomes nullified conditional on the underlying stock price touching a barrier level. We use the Feynamn-Kac method to value American options and present analytic valuation formulas for American under the Black-Scholes pricing framework. Because the early exercise boundary of the American barrier option is different from the early exercise boundary of the vanilla American option, we claim the in-out parity does not hold. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T06:35:22Z (GMT). No. of bitstreams: 1 ntu-95-R92221009-1.pdf: 632041 bytes, checksum: bf1b8a70f17ae412829c4d8047128f83 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | Contents ii
Acknowledgements v Abstract in Chinese vi Abstract vii I.INTRODUCTION 1 II. DECOMPOSITION FORMULAS FOR AMERICAN OPTION 6 III. AMERICAN DOWN-OUT CALLS AND UP-OUT PUTS 12 3.1 Early exercise boundary for American down-out calls, up-out puts 12 3.2 Decomposition Formula for American down-out calls, up-out puts 16 3.3 The possibility of early exercise for American down-out call when there is no dividend 27 IV. AMERICAN DOWN-IN CALLS AND UP-IN PUTS 33 4.1 Decomposition Formula for American down-in calls, up-in puts 33 4.2 In-out barrier parity relation for American barrier options 43 V. CONCLUSION 50 Appendix 51 References 53 | |
| dc.language.iso | en | |
| dc.subject | 美式障礙選擇權 | zh_TW |
| dc.subject | 美式選擇權 | zh_TW |
| dc.title | 美式障礙選擇權 | zh_TW |
| dc.title | American Barrier Option | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳宜良(I-Liang Chern),姜祖恕(Tzuu-Shuh Chiang) | |
| dc.subject.keyword | 美式選擇權,美式障礙選擇權, | zh_TW |
| dc.subject.keyword | American Option,American Barrier Option, | en |
| dc.relation.page | 55 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2006-01-13 | |
| 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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