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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 | Hong-yiu Lin | en |
dc.contributor.author | 林虹佑 | zh_TW |
dc.date.accessioned | 2021-06-13T05:57:09Z | - |
dc.date.available | 2008-07-06 | |
dc.date.copyright | 2006-07-06 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-06-28 | |
dc.identifier.citation | [1] Thomas H. Cormen, Charles E. Leiserson and Ronald L. Rivest Introduction
to Algorithms. MIT Press, 1989, 776–800. [2] Keith O. Geddes, Stephen R. Czapor and George Labahn Algorithms for Computer Algebra Kluwer Academic Publishers, 1992, 111–149. [3] John C. Hull Options, Futures and Other Derivatives. 4th ed. Englewood Cliffs, NJ: Prentice-Hall, 1999. [4] S. G. Kuo “On pricing of discrete barrier options.” Statistica Sinica, Vol 13 (2003), 955–964. [5] Yuh-Daih Lyuu Funancial Engineering and Computation: Principles, Mathematics, Algorithms. Cambridge Univ. Press, 2002. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34180 | - |
dc.description.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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T05:57:09Z (GMT). No. of bitstreams: 1 ntu-95-R93922028-1.pdf: 209238 bytes, checksum: 3e719457f069252b365f0fbe35275580 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | Contents 1
List of Figures 2 1 Introduction 3 1.1 Structures of the Thesis . . . . . . . . . . . . . . . . . . . . . 3 2 Preliminaries 5 2.1 Option Pricing Basics . . . . . . . . . . . . . . . . . . . . . . . 5 2.2 The Black-Scholes Option Pricing Model . . . . . . . . . . . . 7 2.3 The Binomial Option Pricing Model . . . . . . . . . . . . . . . 8 2.4 Barrier Options: Continuous and Discrete Monitoring . . . . . 8 2.5 Polynomial Multiplication and Discrete Fourier Transform . . 9 3 Pricing European Discrete Barrier Options with n Monitor- ing Days 10 3.1 Problem Statement . . . . . . . . . . . . . . . . . . . . . . . . 10 3.2 A Straightforward Solution . . . . . . . . . . . . . . . . . . . . 11 3.3 The Basic Algorithm . . . . . . . . . . . . . . . . . . . . . . . 12 4 The Improved Algorithms 16 4.1 The First Improvement . . . . . . . . . . . . . . . . . . . . . . 16 4.2 The Final Algorithm . . . . . . . . . . . . . . . . . . . . . . . 18 5 Conclusion 22 Bibliography 23 | |
dc.language.iso | en | |
dc.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 | zh_TW |
dc.title | Fast Fourier Transform with Applications to Pricing Discrete European Barrier Options under Binomial and Trinomial Tree Models | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 金國興(Guo-Xing Jin),戴天時(Tian-Shyr Dai) | |
dc.subject.keyword | 快速傅立葉轉換,二元樹,三元樹,離散,歐式,障礙選擇權, | zh_TW |
dc.subject.keyword | Fast Fourier Transform,Pricing,Discrete,European,Barrier Options,Binomial,Trinomial,Tree, | en |
dc.relation.page | 23 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2006-06-29 | |
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 |
顯示於系所單位: | 資訊工程學系 |
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