Heston模型高效模擬方法之研究

Chien-Jen Huang; 黃謙仁

Please use this identifier to cite or link to this item: http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54517

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???org.dspace.app.webui.jsptag.ItemTag.dcfield???	Value	Language
dc.contributor.advisor	呂育道(Yuh-Dauh Lyuu)
dc.contributor.author	Chien-Jen Huang	en
dc.contributor.author	黃謙仁	zh_TW
dc.date.accessioned	2021-06-16T03:01:38Z	-
dc.date.available	2025-08-03
dc.date.copyright	2020-08-04
dc.date.issued	2020
dc.date.submitted	2020-08-03
dc.identifier.citation	[1] Anderson, L. (2007). Efficient Simulation of the Heston Stochastic Volatility Model. Journal of Computational Finance, 11(3), 1–42. [2] Broadie, M. and Kaya, O. (2006). Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes. Operations Research, 54(2), 217–231. [3] Jianwei, Z. (2008). A Simple and Exact Simulation Approach to Heston Model. https://ssrn.com/abstract=1153950. [4] Jonathan A. (2009). Boundary Conditions for Mean-Reverting Square Root Process. Master Thesis, Department of Mathematics, University of Waterloo. [5] Moro, B. (1995). The Full Monte. Risk, 8(2), 57–58. [6] Shao, A. (2012). A Fast and Exact Simulation for CIR Process. Ph.D. thesis, Department of Philosophy, University of Florida, Gainesville.
dc.identifier.uri	http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54517	-
dc.description.abstract	Heston 模型為隨機波動中相當著名且實用的一種，然而使用蒙地卡羅法模擬時，其離散化計算的過程依然有可以探討之處。本文考慮了尤拉方案、由 Andersen 提出的二次指數方案和 Anqi 提出的中心卡方分布案，分析比較其中的差異，以求各方案不同種參數的前提中，在歐式選擇權 Heston 模型的封閉解中有較為優勢的表現。	zh_TW
dc.description.abstract	The Heston model is a well-known and practical stochastic-volatility model. But Monte Carlo simulation of the discretized process still has issues in precision and efficiency. We study the Euler scheme, the quadratic-exponential scheme proposed by Andersen, and the scheme proposed by Anqi by comparing their performance in pricing European options.	en
dc.description.provenance	Made available in DSpace on 2021-06-16T03:01:38Z (GMT). No. of bitstreams: 1 U0001-0308202012445600.pdf: 1669943 bytes, checksum: fbb81bfd142346a72947bd75808d1582 (MD5) Previous issue date: 2020	en
dc.description.tableofcontents	口試委員會審定書 # 誌謝 i 中文摘要 ii ABSTRACT iii CONTENTS iv LIST OF FIGURES vi LIST OF TABLES vii Chapter 1 緒論 1 Chapter 2 文獻回顧 3 2.1 Heston 模型 3 2.1.1 非中心卡方分布 4 2.2 尤拉方案 (Euler scheme) 5 2.3 截斷式高斯方案 (truncated Gaussian scheme) 5 2.3.1 μ 和 τ 6 2.4 二次指數方案 (quadratic-exponential scheme) 7 2.4.1 a 和 b 8 2.4.2 p 和 β 8 2.4.3 切換規則 9 2.5 中心卡方分布案 9 Chapter 3 實驗方法 11 3.1 Cox-Ingersoll-Ross 模型 11 3.2 離散化實作方法 11 3.3 測試方法 13 Chapter 4 實驗數據 14 4.1 V0 等於 θ 14 4.2 V0 和 θ 差距很大 28 Chapter 5 結論 37 REFERENCES 38
dc.language.iso	zh-TW
dc.subject	歐式選擇權定價	zh_TW
dc.subject	隨機波動模型	zh_TW
dc.subject	蒙地卡羅法	zh_TW
dc.subject	歐式選擇權定價	zh_TW
dc.subject	隨機波動模型	zh_TW
dc.subject	蒙地卡羅法	zh_TW
dc.subject	stochastic volatility model	en
dc.subject	Monte Carlo method	en
dc.subject	stochastic volatility model	en
dc.subject	European option pricing	en
dc.subject	Monte Carlo method	en
dc.subject	European option pricing	en
dc.title	Heston模型高效模擬方法之研究	zh_TW
dc.title	Efficient Simulation of the Heston Stochastic-Volatility Model	en
dc.type	Thesis
dc.date.schoolyear	108-2
dc.description.degree	碩士
dc.contributor.oralexamcommittee	張經略(Ching-Lueh Chang),金國興(Gow-Hsing King),陸裕豪(U-Hou Lok)
dc.subject.keyword	隨機波動模型,蒙地卡羅法,歐式選擇權定價,	zh_TW
dc.subject.keyword	stochastic volatility model,Monte Carlo method,European option pricing,	en
dc.relation.page	38
dc.identifier.doi	10.6342/NTU202002259
dc.rights.note	有償授權
dc.date.accepted	2020-08-03
dc.contributor.author-college	電機資訊學院	zh_TW
dc.contributor.author-dept	資訊工程學研究所	zh_TW
Appears in Collections:	資訊工程學系

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