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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 張森林 | |
| dc.contributor.author | Po-Tso Lin | en |
| dc.contributor.author | 林柏佐 | zh_TW |
| dc.date.accessioned | 2021-06-16T16:10:22Z | - |
| dc.date.available | 2013-03-15 | |
| dc.date.copyright | 2013-03-15 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2013-02-25 | |
| dc.identifier.citation | Bjork, T. (2009). Arbitrage theory in continuous time (3rd ed.). New York: Oxford.
Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-654. Bowie, J., & Carr, P. (1994). Static simplicity. Risk Magazine, 7, 45-49. Carr, P., & Chou, A. (1997). Breaking barriers: Static hedging of barrier securities. Risk Magazine, 10, 139-145. Carr, P., Ellis, K., & Gupta, V. (1998). Static hedging of exotic options. Journal of Finance, 3, 1165-1190. Chou, A., & Georgiev, G. (1998). A uniform approach to static replication. Journal of Risk, 1, 73-87. Chung, S.-L., & Shih, P.-T. (2009). Static hedging and pricing American options. Journal of Banking and Finance, 33, 2140-2149. Chung, S.-L., & Shih, P.-T., Tsai, W.-C. (2010). A modi ed static hedging method for continuous barrier options. Journal of Future Markets, 30, 1150-1166. Derman, E., Ergener, D., & Kani, I. (1995). Static options replication. Journal of Deriva- tives, 2, 78-95. Evans. L. (2002). Partial di erential equations. Rhode Island: American Mathematical Society. Etheridge, A. (2002). A course in nancial calculus. United Kingdom: Cambridge. Fink, J. (2003). An examination of the e ectiveness of static hedging in the presence of stochastic volatility. Journal of Futures Markets, 23, 859-890. Hull, J. (2009). Options, futures, and other derivatives (7th ed.). New Jersey: Pearson. Karatzas, I., & Shreve, S., E. (1998). Brownian motion and stochastic calculus (2nd ed.). New York: Springer. Maruhn, J. H., & Sachs, E. W. (2009). Robust static hedging of barrier options in sto- chastic volatility models. Mathematical Methods of Operations Research, 70, 405-433. Nalholm, M., & Poulsen, R. (2006a). Static hedging of barrier options under general asset dynamics: Uni cation and application. Journal of Derivatives, 13, 46-60. 30 Nalholm, M., & Poulsen, R. (2006b). Static hedging and model risk for barrier options. Journal of Futures Markets, 26, 149-163. Thomesen, H. (1998). Barrier options-Evaluation and hedging. Unpublished doctoral dissertation, University of Aarhus, Aarhus, Denmark. Tompkins, R. (2002). Static versus dynamic hedging of exotic options: An evaluation of hedge performance via simulation. Journal of Risk Finance, 3, 6-34. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62785 | - |
| dc.description.abstract | This paper further adjusts the static replication method of Derman, Ergenger,and Kani. (1995, DEK) and modi ed DEK method of Chung, Shin, and Tsai. (2010,modi ed DEK) to reduce hedging errors. Chung et al. hedge continuous barrier
options under the Black and Scholes (1973) model. In those previous methods, the value of the static replication portfolio, consisting of many options with varying maturities, matches the boundary value of the barrier option at n evenly time-spaced points when the stock price equals to the barrier (and zero theta in modi ed DEK). We need to calculate the rst passage time density under risk-neutral probability measure when we want to derive the fair price of the barrier option (closed-form). The mathching points by using the quantile are more intuitive than those by even space. In the modi ed single PDEK method we construct a portfolio of standard options with uneven maturities (time points) and one binary option at last time point to match the boundary value, and we just match the theta at the last point on the barrier. Our numerical results indicate that the modi ed single PDEK approach improves the performance of static hedges. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T16:10:22Z (GMT). No. of bitstreams: 1 ntu-101-R98723025-1.pdf: 1156370 bytes, checksum: 6c186e3943a76671658cb869dcb748c4 (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | The Authorization of Oral Members for Research Dissertation i
Acknowledgements ii Abstract (in Chinese) iii Abstract (in English) iv 1 Introduction 1 2 Overview of Derman et al. (1995) and Chung et al. (2010) 5 2.1 Overview of Derman et al. (1995) . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 Overview of Chung et al. (2010) . . . . . . . . . . . . . . . . . . . . . . . . 7 3 Implementing the PDEK Method and Modied (Single) PDEK Method 9 4 Numerical Analysis and Discussions 14 5 Conclusion 28 Bibliography 30 Appendix 32 A Mathematical Background 32 A.1 Distribution of the Maximal Process . . . . . . . . . . . . . . . . . . . . . 32 A.2 First Passage Time Probability . . . . . . . . . . . . . . . . . . . . . . . . 36 B Parameter Sets Description 37 | |
| dc.language.iso | en | |
| dc.subject | 布朗運動 | zh_TW |
| dc.subject | 靜態避險 | zh_TW |
| dc.subject | 穿時密度 | zh_TW |
| dc.subject | Static Hedging | en |
| dc.subject | Brownian Motion | en |
| dc.subject | First Passage Time Density | en |
| dc.title | 一個利用等分機率的改良式靜態避險方法 | zh_TW |
| dc.title | A Modified Equally Probability-spaced Static Hedging Method | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王耀輝,謬維中 | |
| dc.subject.keyword | 布朗運動,靜態避險,穿時密度, | zh_TW |
| dc.subject.keyword | Brownian Motion,Static Hedging,First Passage Time Density, | en |
| dc.relation.page | 37 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2013-02-25 | |
| 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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