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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 王之彥 | |
dc.contributor.author | Wei-Yang Lin | en |
dc.contributor.author | 林維揚 | zh_TW |
dc.date.accessioned | 2021-06-15T05:43:53Z | - |
dc.date.available | 2020-12-31 | |
dc.date.copyright | 2010-08-20 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-08-19 | |
dc.identifier.citation | Boyle, P. P. (1988) “A Lattice Framework for option Pricing with Two State Variable,”
Journal of Financial and Quantitative Analysis 23, 1-12. Cox, J. C., S. A. Ross, and M. Rubinstein. (1979) “Option Pricing: A Simplified Approach,” Journal of Financial Economics 7,229-263 Conze, A. and Viswanathan. (1991) “Path-Dependent Options: The Case of Lookback Options,” The Journal of Finance 46, 1893-1907. Goldman, B. M., H. B. Sosin, and M. A. Gatto. (1979) “Path-Dependent Options : Buy at the Low, Sell at the High,” Journal of Finance 34, 1111-1127. Hull, J. C. and A. White (1993) “Efficient Procedures for Valuing European and American Path-Dependent Options,” Journal of Derivatives 1, 21-31. Hull, John. C. (2006) “Options, Futures, and Other Derivatives,” Seventh edition. Prentice-Hall International. Kuan, G., and N. J. Webber. (2003) “Valuing Discrete Barrier Options on a Dirichlet Lattice,” International Conference on Stochastic Finance 2004, 156-177. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/46950 | - |
dc.description.abstract | 對於回顧型選擇權的評價,本篇研究是利用 Kuan and Webber (2003a)所提出的 Dirichlet lattice method。此項方法使用 Brownian motion的conditional hitting time distribution來調整二元樹估價法中股價波動的機率。在這方法之中,可以估計股價在兩次觀察期之間所可能達到的最大值與對應的機率,使評價的準確度能大幅提升。在連續觀察時間情況下本研究之評價模型能快速精確的逼近 Conze and Viswanathan (1991)推導的回顧型選擇權封閉解,並且可以用遠少於現有方法的切割期數得到更加精確的結果。這些優點使本方法成為現有方法的重要補充。 | zh_TW |
dc.description.abstract | For the valuation of lookback option, this study extend the Dirichlet lattice method suggested by Kuan and Webber (2003a). Kuan and Webber (2003a) describe a Dirichlet lattice method using the conditional hitting time distribution of the underlying asset price. In this method, the possible maximum stock prices and corresponding probabilities are estimated in every time step between observations, resulting in significant improvement in accuracy. With the framework of one-state variable binomial lattice model, the result of continues-sampled lookback option prices can converge to efficiently the closed-form solution derived by Conze and Viswanathan (1991). Compared to CRR model, this method can get more accurate result with much fewer time steps. All these merits make the method an important addition to the existing tools. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T05:43:53Z (GMT). No. of bitstreams: 1 ntu-99-R97724069-1.pdf: 606722 bytes, checksum: 39908c217ab71aff83b742b3a572d416 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | Contents
摘要 II Abstact III Contents IV List of Figures V List of Tables VI Chapter 1 Introduction 1 1.1. Introduction of Lookback Option 1 1.2. The Pricing Models of Lookback Options 3 1.3. Structure of the Thesis 4 Chapter 2 The Lattice Method with the Brownian Bridge Process and Pricing Lookback Options 5 2.1. CRR Binomial Tree Models for Pricing Lookback Options 5 2.2. The Lattice Method with the Brownian Bridge Process 7 2.3. Construct Lattice Model with the Brownian Bridge Process for Binomial Tree 9 2.4. Pricing Lookback Options 14 Chapter 3 Numerical Results 18 3.1 Examine the Probabilities by Simulation 18 3.2 Pricing Lookback Options 21 Chapter 4 Conclusions 27 Reference 28 | |
dc.language.iso | en | |
dc.title | 以Dirichlet Lattice模型評價回顧型選擇權 | zh_TW |
dc.title | Pricing Lookback Options with the Dirichlet Lattice Method | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 戴天時,郭家豪 | |
dc.subject.keyword | 回顧型選擇權,二元樹模型,Dirichlet lattice,Brownian bridge, | zh_TW |
dc.subject.keyword | lookback options,binomial-lattice model,Dirichlet lattice,Brownian bridge, | en |
dc.relation.page | 28 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2010-08-20 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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