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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/88628完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 張森林 | zh_TW |
| dc.contributor.advisor | San-Lin Chung | en |
| dc.contributor.author | 葉力嘉 | zh_TW |
| dc.contributor.author | LI-CHIA YEH | en |
| dc.date.accessioned | 2023-08-15T17:07:53Z | - |
| dc.date.available | 2023-11-09 | - |
| dc.date.copyright | 2023-08-15 | - |
| dc.date.issued | 2023 | - |
| dc.date.submitted | 2023-07-31 | - |
| dc.identifier.citation | Chen, X., Chadam, J., Jiang, L., and Zheng, W. (2008). Convexity of the Exercise Boundary of the American Put Option on a Zero Dividend Asset. Mathematical Finance, 18, 185–197.
Chen, X., Cheng, H., and Chadam, J. (2013). Nonconvexity of the Optimal Exercise Boundary for American Put Option on a Dividend-Paying Asset. Mathematical Finance, 23, 169–185. Evans, J. D., Kuske, R., and Keller, J. B. (2002). American Options on Assets with Dividends near Expiry. Mathematical Finance, 12, 219–237. Hull, J. C. (2011). Options, Futures, and Other Derivatives (8th ed.). Pearson College Div. Kim, I. J. (1990). The Analytic Valuation of the American Options. The Review of Financial Studies, 3, 547–572. Wilmott, P. (1998). Derivatives: The Theory and Practice of Financial Engineering (1st ed.). Wiley. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/88628 | - |
| dc.description.abstract | 我們使用 Kim （1990）論文中的方程式產生出美式賣權之提前履約曲線的數值結果。另外，我們利用此方程式推導出提前履約曲線對時間與殖利率導數的公式。透過對提前履約曲線對殖利率導數的數值結果，我們提出了為何當殖利率高於無風險利率時，提前履約曲線會出現非凸性的原因。我們也解釋了當殖利率高於無風險利率很多時 (大約高於1.5倍)，提前履約曲線會恢復凸性。 | zh_TW |
| dc.description.abstract | We use the equation in Kim (1990) to generate the numerical results of early exercise boundary for the American put options. Then, we evaluate the formula of the derivative of the early exercise boundary with respect to time and dividend yield. By the numerical results of the derivative of the boundary with respect to the dividend yield, we propose reasoning to explain the nonconvexity of the early exercise boundary when the dividend yield is higher than the risk-free rate. And we also explain why the early exercise boundary regains convex when the dividend yield is much higher than the risk-free rate (for approximately q/r > 1.5) | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2023-08-15T17:07:53Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2023-08-15T17:07:53Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 致謝 i
摘要 ii Abstract iii List of Figures vi List of Tables vii 1. Introduction 1 2. Early Exercise Boundary Evaluation 3 2.1 Methodology 6 2.2 Numerical results 9 3. Derivative of Early Exercise Boundary with respect to time 10 3.1 Derivation of the formula 11 3.2 Numerical Results 14 3.3 Discussion of Inaccurate Results 15 4. Derivative of Early Exercise Boundary with respect to dividend yield 18 4.1 Derivation of the formula 19 4.2 Methodology 20 4.3 Numerical Results 21 5. Nonconvexity Explanation 23 6. Conclusion 26 Appendix 28 A.1 Choice of finite difference method parameter Delta S and Delta t 28 A.2 Convergence of the integral 29 A.3 alpha(tau) regression 31 References 33 | - |
| dc.language.iso | en | - |
| dc.subject | 賣權 | zh_TW |
| dc.subject | 凸性 | zh_TW |
| dc.subject | 提前履約曲線 | zh_TW |
| dc.subject | 美式選擇權 | zh_TW |
| dc.subject | American option | en |
| dc.subject | Convexity | en |
| dc.subject | Put option | en |
| dc.subject | Early exercise boundary | en |
| dc.title | 美式賣權的提前履約曲線之凸性探討-使用Kim方法 | zh_TW |
| dc.title | Discussion of Nonconvexity of Early Exercise Boundary for an American Put Option by Applying Kim's Method | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 111-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.coadvisor | 繆維中 | zh_TW |
| dc.contributor.coadvisor | Daniel Wei-Chung Miao | en |
| dc.contributor.oralexamcommittee | 王之彥;崔茂培 | zh_TW |
| dc.contributor.oralexamcommittee | Jr-Yan Wang;Mao-Pei Tsui | en |
| dc.subject.keyword | 美式選擇權,賣權,提前履約曲線,凸性, | zh_TW |
| dc.subject.keyword | American option,Put option,Early exercise boundary,Convexity, | en |
| dc.relation.page | 34 | - |
| dc.identifier.doi | 10.6342/NTU202302497 | - |
| dc.rights.note | 同意授權(全球公開) | - |
| dc.date.accepted | 2023-08-02 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| 顯示於系所單位： | 財務金融學系 | |
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