對連續型障礙選擇權修正靜態避險策略之一般化

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.author	陳柏碩	en_US
dc.contributor.author	Chen, Po-Shuo	en_US
dc.contributor.author	吳慶堂	en_US
dc.contributor.author	郭家豪	en_US
dc.contributor.author	Wu, Ching-Tang	en_US
dc.contributor.author	Guo, Jia-Hau	en_US
dc.date.accessioned	2014-12-12T02:43:34Z	-
dc.date.available	2014-12-12T02:43:34Z	-
dc.date.issued	2013	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT070052212	en_US
dc.identifier.uri	http://hdl.handle.net/11536/75561	-
dc.description.abstract	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。	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 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.	en_US
dc.language.iso	en_US	en_US
dc.subject	避險	zh_TW
dc.subject	障礙選擇權	zh_TW
dc.subject	靜態複製法	zh_TW
dc.subject	Hedge	en_US
dc.subject	Barrier option	en_US
dc.subject	Static replicating	en_US
dc.title	對連續型障礙選擇權修正靜態避險策略之一般化	zh_TW
dc.title	A Generalization of Modified Static Hedging Method for Continuous Barrier Options	en_US
dc.type	Thesis	en_US
dc.contributor.department	應用數學系所	zh_TW
顯示於類別：	畢業論文