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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
dc.contributor.author | Chun Liu | en |
dc.contributor.author | 劉駿 | zh_TW |
dc.date.accessioned | 2021-06-16T08:04:10Z | - |
dc.date.available | 2017-07-29 | |
dc.date.copyright | 2014-07-29 | |
dc.date.issued | 2014 | |
dc.date.submitted | 2014-07-01 | |
dc.identifier.citation | [1] Babbs, S., 2000, “Binomial Valuation of Lookback Options,” Journal of Economic Dynamics and Control 24, 1499–1525.
[2] Barraquand, J., and Pudet, T., 1996, “Pricing of American Path-Dependent Contingent Claims,” Mathematical Finance 6, 17–51. [3] Boyle, P., (1988), “A Lattice Framework for Option Pricing with Two State Variables,” Journal of Financial and Quantitative Analysis 23, 1–12. [4] Cox, J., Ross, S., and Rubinstein, M., 1979, “Option Pricing: A Simplified Approach,” Journal of Financial Economics 7, 223–264. [5] Chalasani, P., Jha, S., Egriboyun, F., and Varikooty, A., 1999, “A Refined Binomial Lattice for Pricing American Asian Options,” Review of Derivatives Research 3, 85–105. [6] Forsyth, P. A., Vetzal, K. R., and Zvan, R., 2002, “Convergence of Numerical Methods for Valuing Path-Dependent Options Using Interpolation,” Review of Derivatives Research 5, 273–314. [7] Hull, J., and White, A., 1993, “Efficient Procedures for Valuing European and American Path-Dependent Options,” Journal of Derivatives 1, 21–31 [8] Jiang, L., and Dai, M., 2005, “Convergence of Numerical Methods for American Asian Options under Jump Diffusion,” SIAM Journal of Numerical Analysis 5, 273–314. [9] Lyuu, Y.D., 2002, Financial Engineering and Computation, Cambridge, U.K.: Cambridge University Press. [10] Zhang, J.E., 2001, “A Semi-Analytical Method for Pricing and Hedging Continuously Sampled Arithmetic Average Rate Options,” Journal of Computational Finance 5, 59–79 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/57983 | - |
dc.description.abstract | 亞式選擇權 (Asian option) 是路徑相依選擇權的一種,其報酬取決於選擇權於存續期間標的資產價格的平均值。大多數美式路徑相依選擇權 (path-dependent option) 都沒有封閉解 (closed-form),導致評價的困難,所以實務上多以數值方法來近似選擇權的理論價格。在2010年,Gaudenzi, Zanette and Lepellere 提出一種基於二元樹模型所建構出的數值方法可以用來有效率地評價美式路徑相依選擇權,並稱之為二元樹奇異點法 (singular-points binomial method)。本篇論文針對美式的亞式選擇權做評價,並以樹狀模型為基礎,建立一個三元樹的價格模型,每一期除了股價的上漲與下跌外,較二元樹模型多考慮了股價持平的情形,並將奇異點應用在三元樹模型中,主要想法是用奇異點來描述三元樹中任意節點的價格平均及其報酬間的關係。此方法較過去評價美式的亞式選擇權的方法,在效率上來的佳,且在收斂行為的表現上也優於 Gaudenzi, Zanette and Lepellere (2010) 所提出的方法。 | zh_TW |
dc.description.abstract | Asian option is a path-dependent option whose payoff is based on the arithmetic averaging of the underlying asset price over the life of the option. Most American path-dependent options do not admit of closed-form analytical formulas for their option values, or, if they do, the formulas are complex. In practice, numerical methods are used to approximate the option value. In 2010, Gaudenzi, Zanette and Lepellere proposed a new method called the singular-points binomial method to price American path-dependent options efficiently. It is based on the binomial tree. In this thesis, we focus on pricing American Asian options. We establish a trinomial tree that adds a flat move to the binomial tree in every time step. Moreover, we apply the singular-points method into trinomial tree. The idea is to use the singular points to depict the relation between the average price and payoff of any node in the tree. The method is more efficient than existing methods. The convergence behavior is also better than the method of Gaudenzi, Zanette and Lepellere (2010). | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T08:04:10Z (GMT). No. of bitstreams: 1 ntu-103-R99944027-1.pdf: 1639551 bytes, checksum: e801a8216f748676b827dd1c87af0fe5 (MD5) Previous issue date: 2014 | en |
dc.description.tableofcontents | 口試委員會審定書 #
誌謝 i 中文摘要 ii Abstract iii 目錄 iv 圖目錄 v 表目錄 vi Chapter 1 導論 1 Chapter 2 選擇權評價基本觀念 3 2.1 選擇權 3 2.2 亞式選擇權 5 2.3 二元樹選擇權評價模型 6 2.4 三元樹模型 7 Chapter 3 三元樹奇異點法 10 3.1 奇異點與片段線性凸函數 10 3.2 美式亞式選擇權評價 11 3.3 上限型與下限型 17 Chapter 4 數值結果 21 Chapter 5 結論 24 附錄 27 | |
dc.language.iso | zh-TW | |
dc.title | 三元樹模型奇異點法評價美式的亞式選擇權 | zh_TW |
dc.title | Pricing American Asian Options with the Singular-Points Trinomial Method | en |
dc.type | Thesis | |
dc.date.schoolyear | 102-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 戴天時,張經略,王釧茹 | |
dc.subject.keyword | 樹狀模型,三元樹,亞式選擇權,路徑相依,奇異點, | zh_TW |
dc.subject.keyword | lattice model,trinomial tree,Asian option,path dependency,singular points, | en |
dc.relation.page | 27 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2014-07-02 | |
dc.contributor.author-college | 電機資訊學院 | zh_TW |
dc.contributor.author-dept | 資訊網路與多媒體研究所 | zh_TW |
顯示於系所單位: | 資訊網路與多媒體研究所 |
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