Please use this identifier to cite or link to this item:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34119
Title: | 傅立葉轉換之亞式選擇權評價 Pricing Asian Options with Fourier Convolution |
Authors: | Cheng Hsiung Shu 蘇正雄 |
Advisor: | 呂育道 |
Keyword: | 離散型亞式選擇權,連續型亞式選擇權,傅立葉轉換,旋積,機率密度函數,外插法, Discrete Asian Option,Continuous Asian Option,Fourier Transform,Convolution,Probability Density Function,Extrapolation, |
Publication Year : | 2006 |
Degree: | 碩士 |
Abstract: | This thesis investigates the fast Fourier transform-based pricing algorithm for discrete Asian options by Benhamou [1]. We compare it with other methods and combine it with extrapolation to increase numerical accuracy. We also apply it to the continuous case by using extrapolation. Running the algorithm with different numbers of grid points, we observe the convergence of option values both in the continuous case and in the discrete case. The disadvantages of the algorithm are also discussed. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34119 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 資訊工程學系 |
Files in This Item:
File | Size | Format | |
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ntu-95-1.pdf Restricted Access | 186.87 kB | Adobe PDF |
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