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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/97761完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 石百達 | zh_TW |
| dc.contributor.advisor | Pai-Ta Shih | en |
| dc.contributor.author | 郭承約 | zh_TW |
| dc.contributor.author | Cheng-Yue Guo | en |
| dc.date.accessioned | 2025-07-16T16:10:59Z | - |
| dc.date.available | 2025-07-17 | - |
| dc.date.copyright | 2025-07-16 | - |
| dc.date.issued | 2025 | - |
| dc.date.submitted | 2025-07-07 | - |
| dc.identifier.citation | References
1. Beliaeva, N.A., and S.K. Nawalkha. (2010). A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model. Journal of Derivatives, 17(4):25–43. 2. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637-654. 3. Broadie, M., & Detemple, J. (1996). American option valuation: new bounds, approximations, and a comparison of existing methods. The Review of Financial Studies, 9(4), 1211-1250. 4. Chung, S. L., & Shih, P. T. (2009). Static hedging and pricing American options. Journal of Banking & Finance, 33, 2140-2149. 5. Chung, S. L., Huang, Y., T., Shih, P. T., & Wang, J., Y. (2019). Semistatic hedging and pricing American floating strike lookback options. Journal of Futures Markets, 39, 418-434. 6. Derman, E., Ergener, D., Kani, I. (1995). Static options replication. Journal of Derivatives, 2, 78–95. 7. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6, 327-343. 8. Kahl, C., & Jäckel, P. (2006). Fast strong approximation Monte Carlo schemes for stochastic volatility models. Quantitative Finance, 6(6), 513-536. 9. Lewis, A.L. (2000). Option Valuation Under Stochastic Volatility: With Mathematica Code. Finance Press. 10. Nelson, D. B., & Ramaswamy, K. (1990). Simple binomial processes as diffusion approximations in financial models. Review of Financial Studies, 3, 393–430. 11. Rouah, F. D. (2013). The Heston model and its extensions in Matlab and C. John Wiley & Sons. 12. Siven, J., & Poulsen, R. (2009). Auto-static for the people: risk-minimizing hedges of barrier options. Review of Derivatives Research, 12, 193-211. 13. Zeng, X. C., & Zhu, S. P. (2019). A new simple tree approach for the Heston’s stochastic volatility model. Computers & Mathematics with Applications, 78(6), 1993-2010. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/97761 | - |
| dc.description.abstract | 本論文延伸了Chung and Shih (2009) 的研究成果至Heston (1993) 隨機波動模型，我們先以Nelson and Ramaswamy (1990) 的方式建構波動度二項樹，並在每個節點上建立歐式賣權，以價值匹配與平滑貼合條件決定每個歐式賣權的權重，我們稱為動-靜態避險投資組合。此定價結果與Beliaeva and Nawalkha (2010) 吻合，並在不同參數下的定價表現皆十分出色，最後以Chung, Huang, Shih, and Wang (2019) 提供的方式評價避險投資組合的表現，結果顯示動-靜態避險組合有良好的避險表現。 | zh_TW |
| dc.description.abstract | This study extends the work of Chung and Shih (2009) to the Heston (1993) stochastic volatility model. We first construct a volatility binomial tree following the method proposed by Nelson and Ramaswamy (1990), and then construct European put options at each node. The weights of these European options are determined using the value-matching and smooth-pasting conditions. We refer to this as a dynamic-static hedging portfolio. The pricing results are consistent with those of Beliaeva and Nawalkha (2010), and the model performs well under various parameter settings. Finally, we evaluate the performance of the hedging portfolio using the approach proposed by Chung, Huang, Shih, and Wang (2019), and the results demonstrate that the dynamic-static hedging strategy exhibits strong hedging effectiveness. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2025-07-16T16:10:59Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2025-07-16T16:10:59Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | Content
致謝 i 摘要 ii Abstract iii Content iv List of Figures v List of Tables vi 1. Introduction 1 2. Review of Chung and Shih (2009) and Heston (1993) 3 3. Recombined Volatility Binomial Tree under Stochastic Volatility Model 9 4. Dynamic-Static Hedging Portfolio (DSHP) Methodology 12 5. Numerical Results 16 6. Hedging Performance of Dynamic-Static Hedging Portfolio (DSHP) 21 7. Improvement 26 8. Conclusions 30 9. References 32 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | 賣權 | zh_TW |
| dc.subject | 二項樹模型 | zh_TW |
| dc.subject | 美式選擇權 | zh_TW |
| dc.subject | 隨機波動度 | zh_TW |
| dc.subject | 靜態避險 | zh_TW |
| dc.subject | Static hedging | en |
| dc.subject | Binomial tree model | en |
| dc.subject | Put option | en |
| dc.subject | American option | en |
| dc.subject | Stochastic volatility model | en |
| dc.title | 在隨機波動度模型下，以建構避險投資組合與二項樹模型的方式定價美式選擇權 | zh_TW |
| dc.title | Pricing American put option with hedging portfolio and binomial tree approach under stochastic volatility model. | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 113-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 匡顯吉;盧佳琪;朱民芮 | zh_TW |
| dc.contributor.oralexamcommittee | Xian-Ji Kuang;Chia-Chi Lu;Min-Rui Choo | en |
| dc.subject.keyword | 美式選擇權,賣權,隨機波動度,靜態避險,二項樹模型, | zh_TW |
| dc.subject.keyword | American option,Put option,Stochastic volatility model,Static hedging,Binomial tree model, | en |
| dc.relation.page | 33 | - |
| dc.identifier.doi | 10.6342/NTU202501535 | - |
| dc.rights.note | 同意授權(全球公開) | - |
| dc.date.accepted | 2025-07-09 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| dc.date.embargo-lift | 2025-07-17 | - |
| 顯示於系所單位： | 財務金融學系 | |
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