以GARCH-Jump模型評價障礙型選擇權

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DC 欄位	值	語言
dc.contributor.author	賴以尊	en_US
dc.contributor.author	Yi-Tsun Lai	en_US
dc.contributor.author	鍾惠民	en_US
dc.contributor.author	林建榮	en_US
dc.contributor.author	Hui-Min Chung	en_US
dc.contributor.author	Jane-Raung Lin	en_US
dc.date.accessioned	2014-12-12T03:08:34Z	-
dc.date.available	2014-12-12T03:08:34Z	-
dc.date.issued	2006	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT009439509	en_US
dc.identifier.uri	http://hdl.handle.net/11536/81862	-
dc.description.abstract	本篇論文是根據段教授2005年的論文,在評價核心加上跳躍，以及同一時間在資產的報酬以及波動度的相關跳躍來評價障礙型的選擇權。既然障礙型選擇權是和資產的走勢有關，在資產上加上跳躍的影響必然會對於障礙型選擇權有所影響。因此，本篇論文探討此一現象並且去比較段教授所推導出來的論文在評價障礙型選擇權上的表現。	zh_TW
dc.description.abstract	This paper follows Duan et al. (2005 Jumping Starting GARCH) that incorporating jumps in pricing kernel and correlated jumps in asset returns and volatilities. Since barrier options is a path dependent derivatives, incorporating jumps in the underlying assets should have some effects in it. Therefore, we investigate this issue in this paper, and we’ll compare those models pricing performance.	en_US
dc.language.iso	en_US	en_US
dc.subject	GARCH	zh_TW
dc.subject	障礙型選擇權	zh_TW
dc.subject	波動度	zh_TW
dc.subject	Barrier options	en_US
dc.subject	GARCH	en_US
dc.subject	Volatilities	en_US
dc.title	以GARCH-Jump模型評價障礙型選擇權	zh_TW
dc.title	Pricing Barrier Options under GARCH-Jump Model	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

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