Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/137566
DC Field | Value | Language |
---|---|---|
dc.contributor | 應數系 | |
dc.creator | 蔡炎龍 | |
dc.creator | Tsai, Yen-Lung | |
dc.creator | Liu, Hsuan-Ku | |
dc.creator | Lin, Tse-Yu | |
dc.date | 2021-04 | |
dc.date.accessioned | 2021-10-27T03:01:31Z | - |
dc.date.available | 2021-10-27T03:01:31Z | - |
dc.date.issued | 2021-10-27T03:01:31Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/137566 | - |
dc.description.abstract | This paper studies the properties of the parabolic free-boundary problem arising from pricing of American volatility options in mean-reverting volatility processes. When the volatility index follows the mean-reverting square root process (MRSRP), we derive a closed-form pricing formula for the perpetual American power volatility option. Moreover, an artificial neural network (ANN) approach is extended to find an approximate solution of the free boundary problem arising from pricing the perpetual American option. The comparison results demonstrates that the ANN provides an accurate approach to approximate solution for the free boundary problem. | |
dc.format.extent | 343951 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Taiwanese Journal of Mathematics, Vol.25, No.2, pp. 365-379 | |
dc.subject | American volatility options ; free boundary problem ; neural network approach | |
dc.title | On the Pricing Formula for the Perpetual American Volatility Option Under the Mean-reverting Processes | |
dc.type | article | |
dc.identifier.doi | 10.11650/tjm/200803 | |
dc.doi.uri | https://doi.org/10.11650/tjm/200803 | |
item.openairetype | article | - |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | restricted | - |
Appears in Collections: | 期刊論文 |
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