隨機波動性和雙重指數跳躍模型之美式選擇權近似解

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.author	邱允鼎	en_US
dc.contributor.author	Chiu, Yun-Ting	en_US
dc.contributor.author	郭家豪	en_US
dc.contributor.author	Guo, Jia-Hau	en_US
dc.date.accessioned	2015-11-26T01:07:55Z	-
dc.date.available	2015-11-26T01:07:55Z	-
dc.date.issued	2010	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT079739526	en_US
dc.identifier.uri	http://hdl.handle.net/11536/45659	-
dc.description.abstract	這篇論文的目標是提供一個在隨機波動性和雙重指數跳躍模型之下讓評價美式選擇權快速而且有效率的近似解方程式。我們的數值結果說明了不對稱跳躍與提早履約溢酬的關係：在美式賣權的時候，提早履約溢酬會隨著往上跳的機率增加而增加。	zh_TW
dc.description.abstract	The goal of the paper is to provide a useful and efficient analytic formula for pricing American options applied by quadratic approximation method that allows for stochastic volatility and double exponential jump. Our results also show that asymmetric jumps play an important role on the early-exercise premium. The early-exercise premium increases as the probabilities of upward jumps increase of put options.	en_US
dc.language.iso	en_US	en_US
dc.subject	美式選擇權	zh_TW
dc.subject	隨機波動性	zh_TW
dc.subject	雙重指數跳躍	zh_TW
dc.subject	提早履約溢酬	zh_TW
dc.subject	American options	en_US
dc.subject	stochastic volatility	en_US
dc.subject	double exponential jump	en_US
dc.subject	early-exercise premium	en_US
dc.title	隨機波動性和雙重指數跳躍模型之美式選擇權近似解	zh_TW
dc.title	An Efficient Approximation for Pricing American Options under Stochastic Volatility and Double Exponential Jumps	en_US
dc.type	Thesis	en_US
dc.contributor.department	財務金融研究所	zh_TW
顯示於類別：	畢業論文

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