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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38871完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Shao-Huai Tzuai | en |
| dc.contributor.author | 蔡少懷 | zh_TW |
| dc.date.accessioned | 2021-06-13T16:50:05Z | - |
| dc.date.available | 2005-07-12 | |
| dc.date.copyright | 2005-07-12 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-06-23 | |
| dc.identifier.citation | [1] Andricopoulos, A.D., Widdicks, M., Duck, P.W., Newton, D.P., 2003. Universal option valuation using quadrature methods. Journal of Financial Economics 67, 447–471.
[2] Andricopoulos, A.D., Widdicks, M., Duck, P.W., Newton, D.P., 2004. Extending quadrature methods to value multi-asset and complex path dependent options. Working paper. University of Manchester. [3] Ahn, D-G., Figlewski, S., Gao, B., 1999. Pricing discrete barrier options with an adaptive mesh model. Journal of Derivatives 6 (4), 33–44. [4] Black, F., Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, 637–659. [5] Boyle, P.P., Lau, S.H., 1994. Bumping up against the barrier with the binomial method. Journal of Derivatives 1, 6–14. [6] Cheuk, T.H.F., Vorst, T.C.F., 1996. Complex barrier options. Journal of Derivatives 4 (1), 8–22. [7] Figlewski, S., Gao, B., 1999. The adaptive mesh model: a new approach to efficient option pricing. Journal of Financial Economics 53, 313–351.. [8] Hsu,Wei-Yuan,2005. Efficient pricing of Asian and Asian barrier options using the Lagrangian multiplier method. Ph.D. Dissertation. Department of Computer Science and Information Engineering, National Taiwan University, Taiwan. [9] Ko, Kun-Yi, 2003. Fast accurate option valuation using Gaussian quadrature. Master’s Thesis. Department of Finance, National Central University, Taiwan. [10] Kuan, G., Webber, N., 2003. Valuing discrete barrier options on a Dirichlet lattice. Working paper. University of Exeter. [11] Hull, J., 2000. Options, Futures and Other Derivatives, 4th Edition. Prentice-Hall, Englewood Cliffs, NJ. [12] Lyuu, Yuh-Duah, 2002. Financial Engineering and Computation. Cambridge, Cambridge University Press. [13] Moler, Cleve, 2004. Numerical Computing with MATLAB. Mathworks, New York. [14] Ritchken, P., 1995. On pricing barrier options. Journal of Derivatives 3, 19–28. [15] Tian, Y., 1999. A flexible binomial option pricing model. Journal of Futures Markets 19, 817–843. [16] Widdicks, M., Andricopoulos, A.D., Newton, D.P., Duck, P.W., 2002. On the enhanced convergence of lattice methods for option pricing. Journal of Futures Markets 22 (4), 315–338. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38871 | - |
| dc.description.abstract | 本文利用數值積分法快速而精確的評價離散式雙障礙選擇權。在這方法之中，兩次觀察期之間只需進行一次運算，使計算速度能大幅提升。準確度也因節點能精確的放置在障礙上而有顯著改善。最後，這個方法也能處理許多特殊的狀況，例如移動式障礙或是當起始價格非常接近障礙時。這些優點使得本方法成為現有方法的重要補充。 | zh_TW |
| dc.description.abstract | This thesis develops a fast and accurate quadrature method for pricing discrete double-barrier options. In this method, discrete barrier options are valued with only one time step between observations, resulting in significant improvement in speed. Accuracy is greatly enhanced by allowing nodes to be placed exactly on the barriers. Finally, the flexibility of the method makes it capable of dealing with additional features, such as moving barrier or even when the initial price is very close to the barrier (the so-called barrier-too-close problem). All these merits make the method an important addition to the existing tools. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T16:50:05Z (GMT). No. of bitstreams: 1 ntu-94-R92723049-1.pdf: 1128955 bytes, checksum: 569bcae56a459797829a5171b86e21b4 (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | 1 Introduction
1.1 Setting the Ground . . . . . . . .. . . . . . 6 1.2 Structure of the Thesis. . . . . . . . . . . . 8 2 The Quadrature Method 2.1 The Building Block of the Quadrature Method 9 2.2 Illustration with Vanilla Calls. . . . . . . 10 3 Pricing Discrete Barrier Options 3.1 Pricing Discrete Single-Barrier Options . . 14 3.2 Pricing Discrete Double-Barrier Options . . 17 4 Numerical Results. . . . . . . . . . . . . . . . . 20 5 Conclusion. . . . . . . . . . . . . . . . . . . . . 28 Appendix A. . . . . . . . . . . . . . . . . . . . . . 29 Appendix B. . . . . . . . . . . . . . . . . . . . . 31 Bibliography. . . . . . . . . . . . . . . . . . . . 33 | |
| dc.language.iso | en | |
| dc.title | 以數值積分法評價離散式雙障礙選擇權 | zh_TW |
| dc.title | Pricing Discrete Double-Barrier Options with the Quadrature Method | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,金國興 | |
| dc.subject.keyword | 數值積分,選擇權評價,數值方法,障礙選擇權, | zh_TW |
| dc.subject.keyword | Quadrature,Option valuation,Numerical techniques,Barrier options, | en |
| dc.relation.page | 34 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2005-06-24 | |
| 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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|---|---|---|---|
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