Please use this identifier to cite or link to this item:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72833| Title: | CIR模型的三元樹方法 A Trinomial Tree for the CIR model |
| Authors: | Hsien-Chun Huang 黃顯鈞 |
| Advisor: | 呂育道 |
| Keyword: | CIR 模型,三元樹,零息債券評價, CIR model,trinomial tree,zero-coupon bond pricing, |
| Publication Year : | 2019 |
| Degree: | 碩士 |
| Abstract: | Cox-Ingersoll-Ross(CIR)模型是個常見的短期利率模型，描述利率隨時間的變化。Nawalkha與Beliaeva提供了基於CIR模型的三元樹方法，能夠有效率的評價零息債券。本論文採用另一種Dai與Lyuu的三元樹方法，使得債券價格有較平滑的收斂行為。 The Cox–Ingersoll–Ross (CIR) model is a popular short rate model. Nawalkha and Beliaeva propose a trinomial tree for the CIR model to price zero-coupon bonds efficiently. This thesis proposes a different trinomial tree based on Dai and Lyuu. This results in smoother convergence. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72833 |
| DOI: | 10.6342/NTU201901770 |
| Fulltext Rights: | 有償授權 |
| Appears in Collections: | 資訊工程學系 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-108-1.pdf Restricted Access | 1.04 MB | Adobe PDF |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.