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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/67451Full metadata record
| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 王之彥 | |
| dc.contributor.author | Chung-Lin Wu | en |
| dc.contributor.author | 吳重霖 | zh_TW |
| dc.date.accessioned | 2021-06-17T01:32:47Z | - |
| dc.date.available | 2019-08-04 | |
| dc.date.copyright | 2017-08-04 | |
| dc.date.issued | 2017 | |
| dc.date.submitted | 2017-08-02 | |
| dc.identifier.citation | 1. Barone-Adesi, G. and Whaley, R. (1987). “Efficient Analytic Approximation of American Option Values”. Journal of Finance, 42, 301-320.
2. Broadie and Glasserman (1997a). “A stochastic mesh method for Pricing High-Dimensional American Options”. Unpublished manuscript. 3. Hull, J. and A. White. (1994b). “Numerical Procedures for Implementing Term Structure Models II: Two-Factor Models”. Journal of Derivatives, 2, 37-48. 4. Johnson, H. (1987), Options on the maximum or the minimum of several assets. Journal of Financial and Quantitative Analysis, 22, 277-283. 5. Ju, N. (1998). “Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function”. Review of Financial Studies, 11, 627-646. 6. Kim, I. J. (1990). “The Analytic Valuation of American Options”. The Review of Financial Studies, 3, 547-572. 7. Lin C.Y. (2016) “Pricing American Rainbow Options”. Master thesis, National Taiwan University. 8. Longstaff, F. and Schwartz, E. (2001). “Valuating American Options by Simulation: A Simple Least-Squares Approach”. Review of Financial Studies, 14(1), 113-147. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/67451 | - |
| dc.description.abstract | 本篇論文將延伸Lin (2016)的兩資產平方逼近法(參考Barone-Adesi, G. and Whaley, R. (1987))簡稱BAW，將其拓展成為可以定價多個資產的方法。在解BAW提早履約貼水時偏微分的部分，將比重做不同的調整，調整過後的比重在定價美式彩虹選擇權時，加上原來Lin (2016)的方法，三個方法去與真實值比較，發現本論文所考慮進去的方法會較為準確。
另外，本篇論文也用BAW法定價五資產之美式彩虹選擇權，並與廣為人知的最小平方法(Least Square Method)去做比較，結果顯示，在精準度上，BAW法擊敗最小平方法。 | zh_TW |
| dc.description.abstract | This paper modifies Lin (2016)’s quadratic approximation method to develop a multi-asset pricing method for American rainbow options. Specifically, I reconsider different weighting schemes for individual underlying assets when solving the partial differential equation of the early exercise premium of the American rainbow option. The proposed weighting schemes are superior to the method used in Lin (2016) in terms of generating accurate option prices for two-asset American rainbow options. Furthermore, I also compare the proposed method with the least-squares Monte-Carlo simulation for pricing five-asset American rainbow options. The results demonstrate that the proposed method is more efficient and accurate than the least-squares Monte-Carlo simulation. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T01:32:47Z (GMT). No. of bitstreams: 1 ntu-106-R04724058-1.pdf: 1307121 bytes, checksum: 112c8551f4c49d7472fc8a0ada74c462 (MD5) Previous issue date: 2017 | en |
| dc.description.tableofcontents | 口試委員審定書 I
誌謝 II 摘要 III ABSTRACT IV TABLES VI CHAPTER 1 INTRODUCTION 1 CHAPTER 2 METHODOLOGY 3 CHAPTER 3 NUMERICAL RESULTS 9 CHAPTER 4 CONCLUSIONS 14 REFERENCE 15 APPENDIX 16 | |
| dc.language.iso | zh-TW | |
| dc.subject | 美式彩虹選擇權 | zh_TW |
| dc.subject | 平方逼近法 | zh_TW |
| dc.subject | 最小平方法 | zh_TW |
| dc.subject | 五資產 | zh_TW |
| dc.subject | 權重 | zh_TW |
| dc.subject | Five-asset | en |
| dc.subject | Least squares method | en |
| dc.subject | Quadratic approximation | en |
| dc.subject | Weighting | en |
| dc.subject | American rainbow option | en |
| dc.title | 多資產美式彩虹選擇權評價 | zh_TW |
| dc.title | Pricing Multi-asset American Rainbow Options | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 105-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 石百達,王耀輝 | |
| dc.subject.keyword | 美式彩虹選擇權,平方逼近法,最小平方法,五資產,權重, | zh_TW |
| dc.subject.keyword | American rainbow option,Quadratic approximation,Least squares method,Five-asset,Weighting, | en |
| dc.relation.page | 28 | |
| dc.identifier.doi | 10.6342/NTU201702468 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2017-08-03 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| Appears in Collections: | 國際企業學系 | |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-106-1.pdf Restricted Access | 1.28 MB | Adobe PDF |
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