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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72833
Title: | CIR模型的三元樹方法 A Trinomial Tree for the CIR model |
Authors: | Hsien-Chun Huang 黃顯鈞 |
Advisor: | 呂育道 |
Keyword: | CIR 模型,三元樹,零息債券評價, CIR model,trinomial tree,zero-coupon bond pricing, |
Publication Year : | 2019 |
Degree: | 碩士 |
Abstract: | Cox-Ingersoll-Ross(CIR)模型是個常見的短期利率模型,描述利率隨時間的變化。Nawalkha與Beliaeva提供了基於CIR模型的三元樹方法,能夠有效率的評價零息債券。本論文採用另一種Dai與Lyuu的三元樹方法,使得債券價格有較平滑的收斂行為。 The Cox–Ingersoll–Ross (CIR) model is a popular short rate model. Nawalkha and Beliaeva propose a trinomial tree for the CIR model to price zero-coupon bonds efficiently. This thesis proposes a different trinomial tree based on Dai and Lyuu. This results in smoother convergence. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72833 |
DOI: | 10.6342/NTU201901770 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 資訊工程學系 |
Files in This Item:
File | Size | Format | |
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ntu-108-1.pdf Restricted Access | 1.04 MB | Adobe PDF |
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