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dc.contributor.author吳品毅en_US
dc.contributor.authorWu,Pin-Yien_US
dc.contributor.author郭家豪en_US
dc.contributor.authorGuo,Jia-Haoen_US
dc.date.accessioned2015-11-26T01:02:40Z-
dc.date.available2015-11-26T01:02:40Z-
dc.date.issued2015en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT070053909en_US
dc.identifier.urihttp://hdl.handle.net/11536/127558-
dc.description.abstract本篇論文目的為在Heston’s stochastic volatility 假設下,建立適當評價障礙選擇權的方法。本篇參考Jason Fink在2003年所提出的靜態複製法以及San-Lin Chung、Pai-Ta Shih和Wei-Che Tsai在2009年提出對DEK靜態複製法的修正方法,更進一步推廣並降低誤差。而後,討論此方法的適用性。zh_TW
dc.description.abstractThe purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility model. We refer to Fink’s static replication method (2003) and the modified DEK static replication approach provided by Chung, Shih and Tsai (2009), and try to modified the method to reduce the error. Then discuss the applicability of this method.en_US
dc.language.isozh_TWen_US
dc.subject避險zh_TW
dc.subject障礙選擇權zh_TW
dc.subject靜態避險法zh_TW
dc.subjectHedgingen_US
dc.subjectBarrier Optionsen_US
dc.subjectStatic Hedgingen_US
dc.subjectStochastic Volatilityen_US
dc.title優化障礙選擇權之一般性靜態避險策略zh_TW
dc.titleA Modified Method of Generalized Static Hedgingen_US
dc.typeThesisen_US
dc.contributor.department財務金融研究所zh_TW
Appears in Collections:Thesis