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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
dc.contributor.author | Yi-Ting Chen | en |
dc.contributor.author | 陳宜廷 | zh_TW |
dc.date.accessioned | 2021-06-08T05:28:40Z | - |
dc.date.copyright | 2005-07-14 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-07-11 | |
dc.identifier.citation | [1] YUH-DAUH LYUU, Financial Engineering and Computation. Cambridge University, UK, 2002.
[2] PETER JACKEL, Monte Carlo Methods in Finance. John Wiley & Sons, UK, 2002 [3] J. C. HULL, Options, Futures, and Other Derivatives. 5th Edtion, Prentice Hall, Englewood Cliff, NJ, 2003. [5] JOY, CORWIN, PHELIM P. BOYLE, AND KEN SENG TAN. “Quasi-Monte Carlo Methods in Numerical Finance.” Management Science, 42, No. 6 (June 1996), 926-938. [6] GALANTI, SILVIO AND ALAN JUNG. “Low-Discrepancy Sequences: Monte Carlo Simulation of Option Prices.” The Journal of Derivatives, 5, No. 1 (Fall 1997), 63-83. [7] MERSNEE TWISTER, “A 623-Dimensionally Equidistributed Uniform Pseudo-Random Number Generator.” ACM Transactions on Modeling and Computer Simulation, Vol. 8, No. 1, January 1998, pp. 3-30. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24505 | - |
dc.description.abstract | 本篇論文主旨在於評估類蒙地卡羅法。傳統蒙地卡羅法已經被證明是估計封閉解不存在的資產價格的一件有價值的工具;而類蒙特卡羅法保留了傳統蒙地卡羅法的彈性,更增加了模擬速度快與收斂速度快的特性。
本篇論文比較此發法應用於3種類選擇權定價問題︰歐式選擇權,彩虹選擇權和亞式選擇權。 | zh_TW |
dc.description.abstract | Monte Carlo simulation has proved to be a valuable tool for estimating security prices for which closed form solutions do not exist. This thesis evaluate the Quasi-Monte Carlo method that has attractive properties for the numerical valuation of derivatives and examines the use of Monte Carlo simulation with low-discrepancy sequences for valuing derivatives versus the traditional Monte Carlo method using pseudo-random sequences.
The relative performance of the methods is evaluated based on three financial securities pricing problems: European call options, rainbow options, and Asian options. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:28:40Z (GMT). No. of bitstreams: 1 ntu-94-R92723065-1.pdf: 989900 bytes, checksum: a9ba6e50d97037259a32c87349cf8b18 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | Contents
1 Introduction 1.1 Introduction 1 1.2 Organization of This Thesis 2 2 Background 2.1 Monte Carlo Simulation 3 2.2 Estimating the Greeks Using Simulation 4 2.3 Antithetic Variates 5 3 Quasi-Monte Carlo Methods 3.1 Low Discrepancy Sequences 6 3.1.1 Halton Sequences 7 3.1.2 Faure Sequences 8 3.1.3 Sobol Sequences 9 3.2 Pseudo Random Uniform Sequences 10 3.2.1 rand() 10 3.2.2 The Mersenne Twister 10 3.3 Normal Inversion Methods 11 4 Numerical Results 4.1 Evaluating Vanilla Call Options 13 4.2 Evaluating Rainbow Options 15 4.3 Evaluating Asian Options 18 5 Conclusions 20 Bibliography 21 Appendix 22 | |
dc.language.iso | en | |
dc.title | 準蒙地卡羅法用於選擇權定價 | zh_TW |
dc.title | Quasi-Monte Carlo Methods for Option Pricing | en |
dc.type | Thesis | |
dc.date.schoolyear | 93-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 戴天時,金國興 | |
dc.subject.keyword | 蒙地卡羅,選擇權定價, | zh_TW |
dc.subject.keyword | Quasi-Monte Carlo,Option Pricing, | en |
dc.relation.page | 28 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2005-07-11 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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