請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34180
標題: | 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 |
作者: | Hong-yiu Lin 林虹佑 |
指導教授: | 呂育道(Yuh-Dauh Lyuu) |
關鍵字: | 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, |
出版年 : | 2006 |
學位: | 碩士 |
摘要: | 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 |
全文授權: | 有償授權 |
顯示於系所單位: | 資訊工程學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-95-1.pdf 目前未授權公開取用 | 204.33 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。