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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34180
Title: | 快速傅立葉轉換在評價二元樹和三元樹模型之離散歐式障礙選擇權上的應用 Fast Fourier Transform with Applications to Pricing Discrete European Barrier Options under Binomial and Trinomial Tree Models |
Authors: | Hong-yiu Lin 林虹佑 |
Advisor: | 呂育道(Yuh-Dauh Lyuu) |
Keyword: | 快速傅立葉轉換,二元樹,三元樹,離散,歐式,障礙選擇權, Fast Fourier Transform,Pricing,Discrete,European,Barrier Options,Binomial,Trinomial,Tree, |
Publication Year : | 2006 |
Degree: | 碩士 |
Abstract: | A derivative is a financial instrument which is constructed from other more basic underlying assets, such as bonds or stocks. With the dramatic growth of the derivatives markets, more and more derivatives have been designed and issued by financial institutions. This thesis presents a method that can be used to speed up the pricing of discrete European barrier options under binomial and trinomial tree models. Binomial tree and trinomial tree are two common and efficient models for pricing options. However, in practice, almost all barrier options are discretely monitored and the refection principle no longer works. It seems that the only way to price discrete barrier options is to traverse the whole tree, which takes quadratic time. This thesis gives the first subquadratic-time algorithm for the problem. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34180 |
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 | 204.33 kB | Adobe PDF |
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