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dc.contributor.author梁坤民en_US
dc.contributor.authorKun-Min Liangen_US
dc.contributor.author李昭勝en_US
dc.contributor.author許英麟en_US
dc.contributor.authorJack C. Leeen_US
dc.contributor.authorYing-Lin Hsuen_US
dc.date.accessioned2014-12-12T02:08:43Z-
dc.date.available2014-12-12T02:08:43Z-
dc.date.issued2003en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT009126517en_US
dc.identifier.urihttp://hdl.handle.net/11536/55534-
dc.description.abstractBS模型已經被發現其隱含波動率是隨著時間變動而變動，也就是說在二項式模型當中的上漲下跌幅度參數也是應該要隨著時間變動而變動。然而在二項式選擇權訂價模型當中，依舊是假設上漲下跌幅度參數是固定常數。因此，在這篇論文中我們將探討在這些參數為隨機參數下，將如何做選擇權定價。zh_TW
dc.description.abstractThe Black and Scholes (1973) model has been extended in several ways. One of these is to allow the volatility of the underlying asset to change over time. That is, binomial parameters u and d must also change over time. In this thesis, we consider inference for the binomial option pricing model with stochastic parameters.en_US
dc.language.isoen_USen_US
dc.subject台指選擇權zh_TW
dc.subjectbinomial option pricingen_US
dc.title隨機參數二項式選擇權定價zh_TW
dc.titleBinomial Option Pricing with Stochastic Parametersen_US
dc.typeThesisen_US
dc.contributor.department統計學研究所zh_TW
Appears in Collections:Thesis


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