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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50326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 | Yu-Hung Lin | en |
| dc.contributor.author | 林佑鴻 | zh_TW |
| dc.date.accessioned | 2021-06-15T12:36:26Z | - |
| dc.date.available | 2021-08-03 | |
| dc.date.copyright | 2016-08-03 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-07-29 | |
| dc.identifier.citation | [1] Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654.
[2] Cox, J. C., Ingersoll Jr, J. E., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385–407. [3] Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of financial Economics, 7(3), 229–263. [4] Curran, M. (2001). Willow power: optimizing derivative pricing trees. ALGO Research Quarterly, 4(4), 15-24. [5] Haussmann, U. G., & Yan, L. (2005). The modified willow tree algorithm. J. Computational Finance, 8(3), 63–80. [6] Ho, A. C. (2000). Willow tree. Doctoral dissertation, Department of Mathematics, University of British Columbia. Available at https://open.library.ubc.ca/cIRcle/collections/ubctheses/831/items/1.0080017 [7] Xu, W., Hong, Z., & Qin, C. (2013). A new sampling strategy willow tree method with application to path-dependent option pricing. Quantitative Finance, 13(6), 861–872. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50326 | - |
| dc.description.abstract | Curran在2001年提出了一種計算選擇權評價的樹狀數值方法，叫做willow tree演算法。本研究用實驗比較了三種前人所提出的willow tree演算法，以Xu等在2012年提出的演算法誤差最小。本研究也提出了適用非常態分佈的willow tree演算法，並在CIR模型的實驗成功驗證。 | zh_TW |
| dc.description.abstract | Curran developed an algorithm, called willow tree algorithm, for option pricing in 2001. We compared three existing willow tree algorithms. The algorithm developed by Xu et al. in 2012 has minimum error in our experiments. We developed a willow tree algorithm for non-uniform distribution models, and applied it successfully on the CIR model. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T12:36:26Z (GMT). No. of bitstreams: 1 ntu-105-R03922153-1.pdf: 898259 bytes, checksum: 9700d1e803f1ae2f7f0b98a9bf908cf5 (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
中文摘要 ii 英文摘要 iii 第一章 導論 1 第二章 Willow tree模型 2 2.1 基本模型 2 2.2 新取樣策略 4 2.3 改良willow tree演算法 6 2.4 其他限制條件 8 第三章 在非常態分佈下使用willow tree 11 3.1 前人方法的可行性 11 3.2 適用非常態分佈下的willow tree模型 12 第四章 實驗結果 15 第五章 結論 17 參考文獻 18 | |
| dc.language.iso | zh-TW | |
| dc.subject | 金融數學 | zh_TW |
| dc.subject | 金融數學 | zh_TW |
| dc.subject | 選擇權評價 | zh_TW |
| dc.subject | 選擇權評價 | zh_TW |
| dc.subject | 數值方法 | zh_TW |
| dc.subject | 數值方法 | zh_TW |
| dc.subject | 樹狀模型 | zh_TW |
| dc.subject | 樹狀模型 | zh_TW |
| dc.subject | option pricing | en |
| dc.subject | mathematical finance | en |
| dc.subject | option pricing | en |
| dc.subject | numerical method | en |
| dc.subject | tree algorithm | en |
| dc.subject | mathematical finance | en |
| dc.subject | numerical method | en |
| dc.subject | tree algorithm | en |
| dc.title | Willow tree演算法分析 | zh_TW |
| dc.title | Analysis of willow tree algorithms | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,張經略 | |
| dc.subject.keyword | 金融數學,選擇權評價,數值方法,樹狀模型, | zh_TW |
| dc.subject.keyword | mathematical finance,option pricing,numerical method,tree algorithm, | en |
| dc.relation.page | 18 | |
| dc.identifier.doi | 10.6342/NTU201601515 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-07-31 | |
| 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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