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dc.contributor.author林政澔zh_TW
dc.contributor.author郭家豪zh_TW
dc.contributor.authorLin, Cheng Haoen_US
dc.contributor.authorGuo , Jia-Hauen_US
dc.date.accessioned2018-01-24T07:43:26Z-
dc.date.available2018-01-24T07:43:26Z-
dc.date.issued2016en_US
dc.identifier.urihttp://etd.lib.nctu.edu.tw/cdrfb3/record/nctu/#GT070353950en_US
dc.identifier.urihttp://hdl.handle.net/11536/143429-
dc.description.abstract本篇論文旨在利用Derman在1993年提出靜態避險投資組合複製法建構一個Heston (1993) 隨機波動度模型性下的美式選擇權評價模型,同時,我們以Fink (2003)在隨機波動度下建構靜態避險複製法評價障礙選擇權為架構,來評價美式選擇權,同時結合Chung and Shih(2009) 提出的美式選擇權靜態避險投資組合評價方法,將模型更一般化推廣至隨機波動度的環境下,以靜態避險複製投資組合的方式來評價美式選擇權的價值,並嘗試降低減少誤差以達成評價時的效率性。zh_TW
dc.description.abstractThis paper use static hedge portfolio of Derman et al.(1995) to construct an efficient method to evaluate American style option under Heston’s stochastic volatility model. We also refer to Fink (2003) static replication approach and static hedging and pricing American options provided by Chung and Shih (2009). This static hedge portfolio of American option is evaluated by applying the value-match and smooth-pasting conditions on the early exercise boundary. And try to use these schemes to reduce the error and show its efficiency.en_US
dc.language.isoen_USen_US
dc.subject美式選擇權zh_TW
dc.subject靜態避險zh_TW
dc.subject隨機波動度zh_TW
dc.subject提早履約邊界zh_TW
dc.subjectAmerican Optionen_US
dc.subjectStatic Hedgeen_US
dc.subjectStochastic Volatilityen_US
dc.subjectEarly Exercise Boundaryen_US
dc.title美式選擇權之一般性靜態避險複製法zh_TW
dc.titleA Replication Method of Generalized Static Hedging of Pricing American Optionsen_US
dc.typeThesisen_US
dc.contributor.department財務金融研究所zh_TW
顯示於類別:畢業論文