障礙選擇權的近似法

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.author	施易成	en_US
dc.contributor.author	郭家豪	en_US
dc.date.accessioned	2014-12-12T01:58:43Z	-
dc.date.available	2014-12-12T01:58:43Z	-
dc.date.issued	2011	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT079939526	en_US
dc.identifier.uri	http://hdl.handle.net/11536/50300	-
dc.description.abstract	此篇論文的主旨是在Heston’s stochastic volatility的假設下，建立一個衡量障礙選擇權價值的方式。我們採用Zhuang在2008年所提出的靜態複製法的最佳化過程，並選用了Carr and Chou在1997年所提出利用一般選擇權去複製障礙選擇權的想法來做為本篇論文的基礎。然後我們討論這個方法的適用性並設法減低誤差。	zh_TW
dc.description.abstract	The purpose of our work is to provide a method to evaluate the value of the barrier options under Heston’s assumption. We adopt the optimization scheme for the hedging strategy based on the study of Zhuang(2008) and we use vanilla options to replicate barrier options based on the paper of Carr and Chou(1997b)under the frame of Heston. Wethen discuss the performance of this method and try to reduce the error.	en_US
dc.language.iso	zh_TW	en_US
dc.subject	障礙選擇權	zh_TW
dc.subject	近似	zh_TW
dc.subject	價值	zh_TW
dc.subject	barrier	en_US
dc.subject	options	en_US
dc.subject	approximation	en_US
dc.subject	value	en_US
dc.title	障礙選擇權的近似法	zh_TW
dc.title	An Alternative Approximation Approach for Barrier Options	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