政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/83331

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/83331

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > 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:	[Department of Money and Banking] Theses

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