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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50326| Title: | Willow tree演算法分析 Analysis of willow tree algorithms |
| Authors: | Yu-Hung Lin 林佑鴻 |
| Advisor: | 呂育道(Yuh-Dauh Lyuu) |
| Keyword: | 金融數學,選擇權評價,數值方法,樹狀模型, mathematical finance,option pricing,numerical method,tree algorithm, |
| Publication Year : | 2016 |
| Degree: | 碩士 |
| Abstract: | Curran在2001年提出了一種計算選擇權評價的樹狀數值方法，叫做willow tree演算法。本研究用實驗比較了三種前人所提出的willow tree演算法，以Xu等在2012年提出的演算法誤差最小。本研究也提出了適用非常態分佈的willow tree演算法，並在CIR模型的實驗成功驗證。 Curran developed an algorithm, called willow tree algorithm, for option pricing in 2001. We compared three existing willow tree algorithms. The algorithm developed by Xu et al. in 2012 has minimum error in our experiments. We developed a willow tree algorithm for non-uniform distribution models, and applied it successfully on the CIR model. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50326 |
| DOI: | 10.6342/NTU201601515 |
| Fulltext Rights: | 有償授權 |
| Appears in Collections: | 資訊工程學系 |
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| File | Size | Format | |
|---|---|---|---|
| ntu-105-1.pdf Restricted Access | 877.21 kB | Adobe PDF |
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