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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
| dc.contributor.author | Bo-Cheng Chen | en |
| dc.contributor.author | 陳柏丞 | zh_TW |
| dc.date.accessioned | 2023-03-19T22:54:36Z | - |
| dc.date.copyright | 2022-08-10 | |
| dc.date.issued | 2022 | |
| dc.date.submitted | 2022-07-29 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/85276 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2023-03-19T22:54:36Z (GMT). No. of bitstreams: 1 U0001-2907202212414600.pdf: 4532613 bytes, checksum: 56834de3c47ccd4f80e8bbfd710c0c31 (MD5) Previous issue date: 2022 | en |
| dc.description.tableofcontents | 致謝 i 中文摘要 ii ABSTRACT iii 目錄 iv 圖目錄 vi 緒論 1 1-1研究動機 1 1-2研究目的 3 1-3論文架構 3 第二章 文獻回顧 5 ㄧ 、隨機過程 5 二、三元樹 5 三、雙重障礙選擇權的三元樹 8 四、隱含理論與隱含三元樹 11 第三章 實驗方法 16 3.1 雙重障礙三元樹 16 3.2 從雙重障礙選擇權價格建構隱含三元樹 19 第四章 實驗數據 22 第五章 結論 26 參考文獻 27 | |
| dc.language.iso | zh-TW | |
| dc.subject | 局部波動度模型 | zh_TW |
| dc.subject | 選擇權定價 | zh_TW |
| dc.subject | 三元樹 | zh_TW |
| dc.subject | 雙重障礙選擇權 | zh_TW |
| dc.subject | LV model | en |
| dc.subject | double option pricing | en |
| dc.subject | trinomial tree | en |
| dc.title | 隱含三元樹演算法之雙重障礙選擇權的應用 | zh_TW |
| dc.title | Pricing Double-Barrier Options and Implied Trinomial from Such Options | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 110-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 金國興(Gow-Hsing King),陸裕豪(U Hou Lok) | |
| dc.subject.keyword | 選擇權定價,局部波動度模型,三元樹,雙重障礙選擇權, | zh_TW |
| dc.subject.keyword | double option pricing,LV model,trinomial tree, | en |
| dc.relation.page | 31 | |
| dc.identifier.doi | 10.6342/NTU202201874 | |
| dc.rights.note | 同意授權(限校園內公開) | |
| dc.date.accepted | 2022-07-29 | |
| 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 |
| dc.date.embargo-lift | 2022-08-10 | - |
| 顯示於系所單位： | 資訊工程學系 | |
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