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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72833完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Hsien-Chun Huang | en |
| dc.contributor.author | 黃顯鈞 | zh_TW |
| dc.date.accessioned | 2021-06-17T07:07:31Z | - |
| dc.date.available | 2024-07-26 | |
| dc.date.copyright | 2019-07-26 | |
| dc.date.issued | 2019 | |
| dc.date.submitted | 2019-07-24 | |
| dc.identifier.citation | Cox, J., Ingersoll, J., & Ross, S. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385–407.
Dai, T., & Lyuu, Y. (2010). The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing. Journal of Derivatives, 17(4), 7–24. Hilliard, J. E. (2014). Robust Binomial Lattices for Univariate and Multivariate Applications: Choosing Probabilities to Match Local Densities, Quantitative Finance, 14(1), 101–110. Nawalkha, S. K., & Beliaeva, N. A. (2007). Efficient Trees for CIR and CEV Short Rate Models. Journal of Alternative Investments, 10(1), 71–90. Nelson, D. B., & Ramaswamy, K. (1990). Simple Binomial Processes as Diffusion Approximations in Financial Models. Review of Financial Studies, 3(3), 393–430. Zhang, Yu-Quan (2019). Pricing Multi-Asset Time-Varying Double-Barrier Options with Time-Dependent Parameters, Master’s thesis, Department of Computer Science and Information Engineering, National Taiwan University, Taipei, Taiwan. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72833 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T07:07:31Z (GMT). No. of bitstreams: 1 ntu-108-R03922103-1.pdf: 1063401 bytes, checksum: 50b90d38f78d3a6cf363285cf9eb00cf (MD5) Previous issue date: 2019 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 中文摘要 iii 英文摘要 iv 第一章 緒論 1 第二章 文獻回顧 2 2.1 Cox-Ingersoll-Ross 模型 2 2.2 Nelson-Ramaswamy 轉換 2 2.3 Nawalkaha-Beliaeva 三元樹 3 2.4 Dai-Lyuu 二元三元樹 3 第三章 實驗方法 4 3.1 三元樹方法 4 3.2 預先找出截斷位置 6 3.3 債券選擇權 8 第四章 實驗數據 10 4.1 零息債券 10 4.2 歐式零息債券買權 13 4.3 美式零息債券賣權 16 第五章 結論 21 參考文獻 22 | |
| dc.language.iso | zh-TW | |
| dc.subject | 三元樹 | zh_TW |
| dc.subject | 零息債券評價 | zh_TW |
| dc.subject | CIR 模型 | zh_TW |
| dc.subject | CIR model | en |
| dc.subject | trinomial tree | en |
| dc.subject | zero-coupon bond pricing | en |
| dc.title | CIR模型的三元樹方法 | zh_TW |
| dc.title | A Trinomial Tree for the CIR model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 107-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 金國興,張經略,陸裕豪 | |
| dc.subject.keyword | CIR 模型,三元樹,零息債券評價, | zh_TW |
| dc.subject.keyword | CIR model,trinomial tree,zero-coupon bond pricing, | en |
| dc.relation.page | 22 | |
| dc.identifier.doi | 10.6342/NTU201901770 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2019-07-24 | |
| dc.contributor.author-college | 電機資訊學院 | zh_TW |
| dc.contributor.author-dept | 資訊工程學研究所 | zh_TW |
| 顯示於系所單位： | 資訊工程學系 | |
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