優化障礙選擇權之一般性靜態避險策略

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DC Field	Value	Language
dc.contributor.author	吳品毅	en_US
dc.contributor.author	Wu,Pin-Yi	en_US
dc.contributor.author	郭家豪	en_US
dc.contributor.author	Guo,Jia-Hao	en_US
dc.date.accessioned	2015-11-26T01:02:40Z	-
dc.date.available	2015-11-26T01:02:40Z	-
dc.date.issued	2015	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT070053909	en_US
dc.identifier.uri	http://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.abstract	The 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.iso	zh_TW	en_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.subject	Hedging	en_US
dc.subject	Barrier Options	en_US
dc.subject	Static Hedging	en_US
dc.subject	Stochastic Volatility	en_US
dc.title	優化障礙選擇權之一般性靜態避險策略	zh_TW
dc.title	A Modified Method of Generalized Static Hedging	en_US
dc.type	Thesis	en_US
dc.contributor.department	財務金融研究所	zh_TW
Appears in Collections:	Thesis