標題: 對連續型障礙選擇權修正靜態避險策略之一般化
A Generalization of Modified Static Hedging Method for Continuous Barrier Options
作者: 陳柏碩
Chen, Po-Shuo
吳慶堂
郭家豪
Wu, Ching-Tang
Guo, Jia-Hau
應用數學系所
關鍵字: 避險;障礙選擇權;靜態複製法;Hedge;Barrier option;Static replicating
公開日期: 2013
摘要: 本篇論文的主旨是在Heston所提出的隨機波動模型假設下,建立一個衡量障礙選擇權價值的方式。我們參考San-Lin Chung、Pai-Ta Shih和Wei-Che Tsai在2009年提出對DEK靜態複製法的修正方法,將其推廣到Jason Fink在2003年所提出的靜態複製法,設法降低誤差,並討論此方法的適用性。
The purpose of our work is to provide a method to evaluate the value of the barrier options under Heston’s stochastic volatility model. We refer to the modified DEK static replication approach provided by San-Lin Chung, Pai-Ta Shih and Wei-Che Tsai (2009), and generalize to Jason Fink’s static replication method (2003) and try to reduce the error. Then discuss the applicability of this method.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT070052212
http://hdl.handle.net/11536/75561
Appears in Collections:Thesis