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dc.contributor.author張明淇en_US
dc.contributor.author許元春en_US
dc.date.accessioned2014-12-12T01:23:46Z-
dc.date.available2014-12-12T01:23:46Z-
dc.date.issued2012en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT079422805en_US
dc.identifier.urihttp://hdl.handle.net/11536/40829-
dc.description.abstract本論文在研究永續美式勒式選擇權在超指數型跳躍擴散模型下的定價問題。利用自由邊界問題的方法，我們解決了所對應之最佳停止時間問題，並且求出永續美式勒式選擇權的合理價格。此外，我們也證明了自由邊界問題再加上平滑銜接條件的解之存在性。zh_TW
dc.description.abstractThis study investigates the problem of pricing perpetual American strangle option under a hyper-exponential jump-diffusion model. By using the free boundary problem approach, we solve the corresponding optimal stopping problem and determine the rational price of the perpetual American strangle options. In particular, we prove the existence of solutions to the free boundary problems with the smooth pasting conditions.en_US
dc.language.isozh_TWen_US
dc.subject超指數型跳躍擴散隨機過程zh_TW
dc.subject永續美式勒式選擇權zh_TW
dc.subject最佳停止時間問題zh_TW
dc.subject自由邊界問題zh_TW
dc.subjecthyper-exponential jump-diffusion Levy processen_US
dc.subjectperpetual American strangle optionen_US
dc.subjectoptimal stopping problemen_US
dc.subjectfree boundary problemen_US
dc.title雙邊最佳停止問題和永續美式勒式選擇權zh_TW
dc.titleTwo-Sided Optimal Stopping Problems and The Perpetual American Strangle Optionsen_US
dc.typeThesisen_US
dc.contributor.department應用數學系所zh_TW
Appears in Collections:Thesis


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