1. 目前位置：

完整後設資料紀錄
DC 欄位值語言
dc.contributor.author楊家農en_US
dc.contributor.authorChia-Nung Yangen_US
dc.contributor.author鍾惠民en_US
dc.contributor.authorHuimin Chungen_US
dc.date.accessioned2014-12-12T02:59:19Z-
dc.date.available2014-12-12T02:59:19Z-
dc.date.issued2005en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT009339523en_US
dc.identifier.urihttp://hdl.handle.net/11536/79726-
dc.description.abstract本篇論文提出一個在市場流動性不足情況發生時的選擇權訂價模型，並且發展一個新的數值方法來求解一個非線性拋物線型態的偏微分方程式，同時利用湯馬斯演算法來提升數值運算的效率。在實證研究的部份，我們使用美國的個股選擇權資料來進行分析，首先運用非線性最小平方法來估計標的物的市場流動性，並針對Black-Scholes與本文所運用的模型即Frey模型兩者之間對選擇權定價的損失函數分析。zh_TW
dc.description.abstractThis paper considers the pricing model of options under illiquidity. A new numerical procedure for solving the nonlinear parabolic partial differential equation is explored and the Thomas algorithm is used to improving the efficiency of the numerical scheme. Using CBOE stock options, we employ the nonlinear least square method for obtaining the liquidity parameter of the underlying stock option in empirical work and then comparing the loss function between the Black-Scholes model and the model which is proposed by Frey and Patie (2001) and will be abbreviated as the Frey model in this paper.en_US
dc.language.isoen_USen_US
dc.subject選擇權評價zh_TW
dc.subject非流動性的選擇權定價zh_TW
dc.subject非線性偏微分方程式zh_TW
dc.subject回饋效果zh_TW
dc.subject價格影響力zh_TW
dc.subject有限差分法zh_TW
dc.subject湯馬斯演算法zh_TW
dc.subject非線性最小平方法zh_TW
dc.subjectOption Valuationen_US
dc.subjectIlliquidity Option Pricingen_US
dc.subjectNonlinear PDEen_US
dc.subjectFeedback Effecten_US
dc.subjectPrice Impacten_US
dc.subjectFinite Difference Methoden_US
dc.subjectThomas Algorithmen_US
dc.subjectNLSen_US
dc.title考慮流動性下之選擇權訂價模型: 非線性拋物線偏微分方程式的數值方法應用zh_TW
dc.titlePricing options under illiquidity: Numerical method applications in nonlinear parabolic PDEen_US
dc.typeThesisen_US
dc.contributor.department財務金融研究所zh_TW
顯示於類別：畢業論文


文件中的檔案：

  1. 952301.pdf

若為 zip 檔案，請下載檔案解壓縮後，用瀏覽器開啟資料夾中的 index.html 瀏覽全文。

相關內容
Loading...