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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/36163
標題: | 算術平均式亞式選擇權之價格下限 Lower Bounds for Asian Options |
作者: | Kuan-Wen Chen 陳冠文 |
指導教授: | 呂育道 |
關鍵字: | 亞式選擇權, Lower Bounds,Asian Options, |
出版年 : | 2005 |
學位: | 碩士 |
摘要: | There are two types of Asian options, fixed-strike and floating-strike, in the literature. We give lower bounds on the values of both fixed-strike and floating-strike Asian options in continuous case. Good lower bounds for both options have been derived earlier by Rogers & Shi (1995) and Thompson (1998). But the lower bound derived by them assumes a maturity of one year. This thesis extends Thompson’s version of the lower bound to the case of general maturities. Numerical experiments are performed to confirm the extreme accuracy of the lower bound. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/36163 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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ntu-94-1.pdf 目前未授權公開取用 | 1.2 MB | Adobe PDF |
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