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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37746| Title: | 用在跳躍市場的隱式－顯式之定價方法 IMEX Method For A Market With Jumps |
| Authors: | You-Chen Chang 張祐誠 |
| Advisor: | 彭?堅 |
| Keyword: | 有限插分方法,含有跳躍的擴散過程,隱式-顯式的方法,無條件地穩定,快速傅立葉轉換,朗格-古塔的方法, Finite difference method,Jump diffusion process,IMEX method,Unconditionally stable,Fast Fourier transform,Runge-Kutta scheme, |
| Publication Year : | 2008 |
| Degree: | 碩士 |
| Abstract: | 本篇論文主要是探討如何利用 IMEX 的方法為跳躍市場的選擇權定價。除了一階的方法之外，我們還會探討多階的 Runge-Kutta 方法。最後我們還會以數值的結果來探討利用 Runge-Kutta 方法的優勢所在。 This paper mainly discusses how to use the IMEX method to price options on a market with jumps. In addition to the first order method, we will discuss the IMEX Runge-Kutta method which is a higher order scheme. Finally, we will use the numerical examples to discuss the advantage of the IMEX Runge-Kutta method. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37746 |
| Fulltext Rights: | 有償授權 |
| Appears in Collections: | 數學系 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-97-1.pdf Restricted Access | 291.9 kB | Adobe PDF |
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