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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/85276| Title: | 隱含三元樹演算法之雙重障礙選擇權的應用 Pricing Double-Barrier Options and Implied Trinomial from Such Options |
| Authors: | Bo-Cheng Chen 陳柏丞 |
| Advisor: | 呂育道(Yuh-Dauh Lyuu) |
| Keyword: | 選擇權定價,局部波動度模型,三元樹,雙重障礙選擇權, double option pricing,LV model,trinomial tree, |
| Publication Year : | 2022 |
| Degree: | 碩士 |
| Abstract: | 隱含樹(implied tree)是一種計算區域波動度的方法，本文章基於Lok 與Lyuu提出的三元隱含樹演算法進行改良，將樹分為上下兩半計算，讓雙重障礙三元隱含樹計算區域波動度能更好的貼近原本的區域波動度平面，這是首次有研究針對從雙重障礙選擇權價格建構隱含三元樹的演算法進行探討。 Implied tree is a method to calculate the local volatility (LV). This thesis, based on the implied trinomial tree of Lok and Lyuu, presents an efficient and valid smile-consistent tree for the LV model. This is the first attempt at building an implied trinomial tree with double-barrier options. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/85276 |
| DOI: | 10.6342/NTU202201874 |
| Fulltext Rights: | 同意授權(限校園內公開) |
| metadata.dc.date.embargo-lift: | 2022-08-10 |
| Appears in Collections: | 資訊工程學系 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| U0001-2907202212414600.pdf Access limited in NTU ip range | 4.43 MB | Adobe PDF |
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