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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/63445
Title: | 高精度算法在金融數學模型中的應用 On a High Order Numerical Method for Mathematical Models in Financial Engineering |
Authors: | You-Gang Chen 陳幼剛 |
Advisor: | 薛克民(Keh-Ming Shyue) |
Keyword: | 頻譜法,正交基底函數,正交規則,布雷克-休斯方程,偏積微分方程,自由邊界問題, Spectral method,orthogonal basis function,quadrature rule,Black-Scholes equation,partial integro-differential equation,free boundary condition, |
Publication Year : | 2012 |
Degree: | 碩士 |
Abstract: | 本論文將類頻譜法運用在幾種金融工程中著名的模型並對其適用範圍、收斂
速度、數值計算的穩定性等方面進行探討。此方法相對於傳統作法被證實有其特 殊的優越性,尤其在特殊邊界問題上的運用。 The aim of this thesis is to address some mathematical issues on the application of pseudo spectral method on several important models in financial engineering, such as scope of application, speed of convergence, numerical stability, etc. This method has been proven superior with respect to the traditional ones especially for problems with special boundary conditions. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/63445 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 數學系 |
Files in This Item:
File | Size | Format | |
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ntu-101-1.pdf Restricted Access | 2 MB | Adobe PDF |
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