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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31148


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    題名: 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
    貢獻者: 廖四郎
    江彌修


    蘇宥運
    關鍵詞: 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
    上傳時間: 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
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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