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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/83331
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83331


    Title: 以Adaptive Mesh Model評價重設選擇權
    Pricing Reset Option with an Adaptive Mesh Model
    Authors: 洪瑞鴻
    Hong, Ruey-Hong
    Contributors: 陳威光
    Chen, Wei-Kuang
    洪瑞鴻
    Hong, Ruey-Hong
    Keywords: 重設選擇權
    下生效界限選擇權
    美式重設選擇權
    細網結構
    樹網模型
    Adaptive Mesh Model
    Ritchken
    AMM
    fine mesh
    Date: 2000
    Issue Date: 2016-03-31 16:36:12 (UTC+8)
    Abstract: 本文目的在運用Adaptive Mesh Model,以具有高解析度的細網結構(fine mesh)來評價重設選擇權,以解決傳統Ritchken(1995) 樹狀模型在運用上會出現一些無法有效率運算和收斂狀況不佳二個問題。
    Reference: Ahn, Dong-Hyun , S, Figlewski., and B. Gao. "Pricing Discrete Barrier Options with an Adaptive Mesh Model " Journal of Derivates, 2(1999), pp.33-43
    Boyle , P.P., and S.H. Lau "Bumping Up Against the Barrier with the Binomial Method." Journal of Derivates, 2(1994), pp.6-14
    Boyle , P.P., "A Lattice Framework for Option Pricing with Two State Variables." Journal of Financial and Quantitative Analysis, 23(March 1988), pp.1-12
    Chen, Wei-Kuang (陳威光) , "The Valuation Of Reset Options," Chinese Financial Association Annual Conference 1999
    Cheuk, T.H.F. , and T.C.F. Vorst. "Complex Barrier Options" Journal of Derivates, 4(1996), pp.8-22
    Derman ,Emanuel, Iraj Kani , Deniz Ergener , and Indrajit Bardhan ."Enhanced Numerical Methods for Option with Barriers"Financial Analysts Journal (Nov-Dec 1995)"
    Figlewski, S., and B. Gao. "The Adaptive Mesh Model : A New Approach to Efficient Option Pricing." Journal of Financial Economics, 1999 pp313-351
    Gray, F.S. and R.,Whaley,"Valuing S&P 500 Bear Market Warrents with a Periodic Reset," Journal of Derivates, 5,1(Fall 1997), pp.99-106
    Lee , Tsun-siou (李存修),Yue-xian Lin(林岳賢) "重設選擇權之評價與避險操作" Chinese Financial Association Annual Conference 1999
    Ritchken, P. "On Pricing Barrier Option." Journal of Derivates, 3(1995), pp.19-28
    Description: 碩士
    國立政治大學
    金融研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002079
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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