政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31148
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113321/144300 (79%)
造访人次 : 51110754      在线人数 : 907
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31148


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/31148


    题名: 傅利葉轉換於亞式選擇權評價上之應用性研究
    作者: 蘇宥運
    贡献者: 廖四郎
    江彌修


    蘇宥運
    关键词: 傅利葉轉換
    亞洲選擇權
    快速傅利葉轉換
    傅利業級數
    日期: 2004
    上传时间: 2009-09-14 09:25:51 (UTC+8)
    摘要: 本論文介紹傅利葉轉換於亞式選擇權評價上的應用探討，並藉由與其他評價方式比較，來凸顯此評價方法不須對標的價格做分配假設的評價優勢，以及藉由快速傅利葉所具有的快速演算優勢，來看對亞式選擇權評價的影響。
    參考文獻: 中文部份
    1. 陳松男，金融工程學：金融商品創新選擇權理論，華泰書局，民國91年。
    英文部份
    1. Alziary B., J. Decamps, and P. Koehl(1997), “A P.D.E. Approach to Asian Options：Analytical and Numerical Evidence,” Journal of Banking and Finance, 21, pp613-640.
    2. Bakshi, G. and D. B. Madan(2000), “Spanning and Derivative Security Valuation,” Journal of Financial Economics, pp205-238.
    3. Benhamou, E.(2002), “Fast Fourier Transform for Discrete Asian Options,” Journal of Computational Finance, 6.
    4. Boyle, P.(1997), “Options :A Monte Carlo Approach,” Journal of Financial Economics, 4, pp323-338.
    5. Carr P., and D. B. Madan(1999), “Option Valuation Using the Fast Fourier Transform,” Journal of Computational Finance, 2, pp61-73.
    6. Caverhill A. and Clewlow L(1992), Flexible Convolution, From Black Scholes to Black Holes, pp165-171.
    7. Corwin J., P. Boyle, and K. Tan(1996), “Quasi-Monte Carlo Methods in Numerical Finance,” Management Science, 42, pp926-938.
    8. Dempster M., and S. Hong(2000), “Pricing Spread Option with the Fast Fourier Transform,” University of Cambridge working paper.
    9. Dewynne J., and P. Wilmott(1995), “Asian Options as Linear Complementary Problems,” Advances in Futures and Options Research, 8, pp145-173.
    10. Hewitt E., and K. R. Stromberg(1965), Real and Abstract Analysis, Springer-Verlag, New York.
    11. Hull J., and A. White(1993), “Efficient Procedures for Valuing European and American Path Dependent Options,” Journal of Derivatives , 1, pp21-23.
    12. Kemna A., and A. Vorst(1990), “A Pricing Method for Option Based on Average Asset Values,” Journal of Banking and Finance, 14, pp113-129.
    13. Levy, E.(1992), ”Pricing European Average Rate Currency Options,” Journal of International Money and Finance, 11, pp474-491.
    14. Levy E., and S. Turnbull(1992), “Beyond Average Intelligence,” RISK, 5 , pp53-59.
    15. Madan, D. B., P. Carr, and E. Chang(1998), “The Variance Gamma Process and Option Pricing,” European Finance Review, 2, pp79-105.
    16. Milevsky M. A., and S. E. Posner(1998), “Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution,” Journal of Financial and Quantitative Analysis , 33, pp409-422.
    17. Milevsky M. A., and S. E. Posner(1999), “Another Moment for the Average Option,” Derivatives Quarterly, pp47-53.
    18. Neave E., and S. Turnbull(1993), “Quick Solutions for Arithmetic Average Options on a Recombining Random Walk,” 4th Actuarial Approach for Financial Risks International Colloquium, pp718-739.
    19. Turnbull S., and L. Wakeman(1991), “A Quick Algorithm for Pricing European Average Options,” Journal of Financial and Quantitative Analysis, 26, pp377-389.
    20. Vorst T.(1992), “Prices and Hedge Ratios of Average Exchange Rate Options,” International Review of Financial Analysis, 1, pp179-193.
    21. Roussas G.(1997), A Course in Mathematical Statistics, Academic Press.
    22. Shephard N. G.(1991), “From Characteristic Function To Distribution Function:A Simple Framework For The Theory,” Econometric Theory, 7, pp519-529.
    描述: 碩士
    國立政治大學
    金融研究所
    90352027
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090352027
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2328检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈