Please use this identifier to cite or link to this item: https://ah.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:[金融學系] 學位論文

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