| dc.contributor.advisor | 廖四郎<br>江彌修 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (Authors) | 蘇宥運 | zh_TW |
| dc.creator (作者) | 蘇宥運 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:25:51 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:25:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:25:51 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090352027 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31148 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 90352027 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (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。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論．．．．．．．．．．．．．．．．．．．．．．．1 第二章 傅利葉級數、離散傅利葉轉換與快速傅利葉轉換．．．．5 第一節 傅利葉級數（Fourier Series）． ．．． ．．．．．．5 第二節 離散傅利葉轉換（Discrete Fourier Transform）． ． 7 第三節 快速傅利葉轉換(Fast Fourier Transform)．．．．．．8 第三章 快速傅利葉轉換應用至普通選擇權的評價．．．．．．．11 第一節 傳統傅利葉方法應用至選擇權的評價．．．．．．．．．11 第二節 選擇權價格的傅利葉轉換 ．．．．．．．．． ．．．．12 第三節 價外選擇權價格(時間價值)的傅利葉轉換 ． ．．．．．15 第四節 運用快速傅利葉轉換至選擇權評價．．．．．．．．．．18 第五節 各種評價方法精確性及有效性之比較．．．．．．．．．19 第四章 三種評價亞式選擇權的方法．．．．．．．．．．．．．23 第一節 以Levy(1992)評價亞式選擇權．．．．．．．．．．． 23 第二節 以Milevsky and Posner (1998)評價亞式選擇權． ．24 第三節 以Benhamou(2002)快速傅利葉轉換評價亞式選擇權．．．28 第四節 近似封閉解評價公式準確度之比較．．．．．．．．．．34 第五節 Caverhill and Clewlow(1992)、Benhamou (2002) 與倒數Gamma 分配評價方法準確性之比較．．．．． ．35 第五章 結論．．．．．．．．．．．．．．．．．．．． ．41 參考文獻．．．．．．．．．．．．．．．．．．． ．．．．． 43 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090352027 | en_US |
| dc.subject (關鍵詞) | 傅利葉轉換 | zh_TW |
| dc.subject (關鍵詞) | 亞洲選擇權 | zh_TW |
| dc.subject (關鍵詞) | 快速傅利葉轉換 | zh_TW |
| dc.subject (關鍵詞) | 傅利業級數 | zh_TW |
| dc.title (題名) | 傅利葉轉換於亞式選擇權評價上之應用性研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 中文部份 | zh_TW |
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