政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/96328

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 51040191 Online Users : 897

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/96328

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/96328

Title:	隨機利率下選擇權訂價模型
Authors:	王昭文
Contributors:	廖四郎王昭文
Date:	2002
Issue Date:	2016-05-10 18:57:45 (UTC+8)
Abstract:	Under Gaussian HJM framework, the first goal of the research is to derive the closed-form solution of market-traded contingent claims, such as Taiwanese capped options and under Gaussian HJM framework. I provide the closed-form solutions of generalized capped options (one of the special cases is Taiwanese capped options). However, some contingent claims do not have closed-form solutions, such as long-dated American stock options. Thus, how to develop numerical techniques such as lattice method and Monte Carlo simulation under Gaussian HJM framework is also important for option pricing. The second goal of the research is to provide the numerical methods such as lattice method, and Monte Carlo simulation under Gaussian HJM framework. Unlike the other numerical methods under stochastic interests, our methods can be used to compute the prices of equity derivatives which are related to interest rate, for example, long-dated American stock options.
Description:	博士國立政治大學金融研究所 88352504
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2010000065
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

Files in This Item:

File	Size	Format
index.html	0Kb	HTML2	355	View/Open

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.

Loading...