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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54517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 | Chien-Jen Huang | en |
| dc.contributor.author | 黃謙仁 | zh_TW |
| dc.date.accessioned | 2021-06-16T03:01:38Z | - |
| dc.date.available | 2025-08-03 | |
| dc.date.copyright | 2020-08-04 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-08-03 | |
| dc.identifier.citation | [1] Anderson, L. (2007). Efficient Simulation of the Heston Stochastic Volatility Model. Journal of Computational Finance, 11(3), 1–42. [2] Broadie, M. and Kaya, O. (2006). Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes. Operations Research, 54(2), 217–231. [3] Jianwei, Z. (2008). A Simple and Exact Simulation Approach to Heston Model. https://ssrn.com/abstract=1153950. [4] Jonathan A. (2009). Boundary Conditions for Mean-Reverting Square Root Process. Master Thesis, Department of Mathematics, University of Waterloo. [5] Moro, B. (1995). The Full Monte. Risk, 8(2), 57–58. [6] Shao, A. (2012). A Fast and Exact Simulation for CIR Process. Ph.D. thesis, Department of Philosophy, University of Florida, Gainesville. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54517 | - |
| dc.description.abstract | Heston 模型為隨機波動中相當著名且實用的一種，然而使用蒙地卡羅法模擬時，其離散化計算的過程依然有可以探討之處。本文考慮了尤拉方案、由 Andersen 提出的二次指數方案和 Anqi 提出的中心卡方分布案，分析比較其中的差異，以求各方案不同種參數的前提中，在歐式選擇權 Heston 模型的封閉解中有較為優勢的表現。 | zh_TW |
| dc.description.abstract | The Heston model is a well-known and practical stochastic-volatility model. But Monte Carlo simulation of the discretized process still has issues in precision and efficiency. We study the Euler scheme, the quadratic-exponential scheme proposed by Andersen, and the scheme proposed by Anqi by comparing their performance in pricing European options. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T03:01:38Z (GMT). No. of bitstreams: 1 U0001-0308202012445600.pdf: 1669943 bytes, checksum: fbb81bfd142346a72947bd75808d1582 (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 口試委員會審定書 # 誌謝 i 中文摘要 ii ABSTRACT iii CONTENTS iv LIST OF FIGURES vi LIST OF TABLES vii Chapter 1 緒論 1 Chapter 2 文獻回顧 3 2.1 Heston 模型 3 2.1.1 非中心卡方分布 4 2.2 尤拉方案 (Euler scheme) 5 2.3 截斷式高斯方案 (truncated Gaussian scheme) 5 2.3.1 μ 和 τ 6 2.4 二次指數方案 (quadratic-exponential scheme) 7 2.4.1 a 和 b 8 2.4.2 p 和 β 8 2.4.3 切換規則 9 2.5 中心卡方分布案 9 Chapter 3 實驗方法 11 3.1 Cox-Ingersoll-Ross 模型 11 3.2 離散化實作方法 11 3.3 測試方法 13 Chapter 4 實驗數據 14 4.1 V0 等於 θ 14 4.2 V0 和 θ 差距很大 28 Chapter 5 結論 37 REFERENCES 38 | |
| dc.language.iso | zh-TW | |
| dc.subject | 歐式選擇權定價 | zh_TW |
| dc.subject | 隨機波動模型 | zh_TW |
| dc.subject | 蒙地卡羅法 | zh_TW |
| dc.subject | 歐式選擇權定價 | zh_TW |
| dc.subject | 隨機波動模型 | zh_TW |
| dc.subject | 蒙地卡羅法 | zh_TW |
| dc.subject | stochastic volatility model | en |
| dc.subject | Monte Carlo method | en |
| dc.subject | stochastic volatility model | en |
| dc.subject | European option pricing | en |
| dc.subject | Monte Carlo method | en |
| dc.subject | European option pricing | en |
| dc.title | Heston模型高效模擬方法之研究 | zh_TW |
| dc.title | Efficient Simulation of the Heston Stochastic-Volatility Model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張經略(Ching-Lueh Chang),金國興(Gow-Hsing King),陸裕豪(U-Hou Lok) | |
| dc.subject.keyword | 隨機波動模型,蒙地卡羅法,歐式選擇權定價, | zh_TW |
| dc.subject.keyword | stochastic volatility model,Monte Carlo method,European option pricing, | en |
| dc.relation.page | 38 | |
| dc.identifier.doi | 10.6342/NTU202002259 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-08-03 | |
| 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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