| dc.contributor.advisor | 廖四郎<br>江彌修 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (作者) | 蘇宥運 | zh_TW |
| dc.creator (作者) | 蘇宥運 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-九月-2009 09:25:51 (UTC+8) | - |
| dc.date.available | 14-九月-2009 09:25:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-九月-2009 09:25:51 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0090352027 | en_US |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=32406 | - |
| 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\r\n第二章 傅利葉級數、離散傅利葉轉換與快速傅利葉轉換．．．．5\r\n第一節 傅利葉級數（Fourier Series）． ．．． ．．．．．．5\r\n第二節 離散傅利葉轉換（Discrete Fourier Transform）． ． 7\r\n第三節 快速傅利葉轉換(Fast Fourier Transform)．．．．．．8\r\n第三章 快速傅利葉轉換應用至普通選擇權的評價．．．．．．．11\r\n第一節 傳統傅利葉方法應用至選擇權的評價．．．．．．．．．11\r\n第二節 選擇權價格的傅利葉轉換 ．．．．．．．．． ．．．．12\r\n第三節 價外選擇權價格(時間價值)的傅利葉轉換 ． ．．．．．15\r\n第四節 運用快速傅利葉轉換至選擇權評價．．．．．．．．．．18\r\n第五節 各種評價方法精確性及有效性之比較．．．．．．．．．19\r\n第四章 三種評價亞式選擇權的方法．．．．．．．．．．．．．23\r\n第一節 以Levy(1992)評價亞式選擇權．．．．．．．．．．． 23\r\n第二節 以Milevsky and Posner (1998)評價亞式選擇權． ．24\r\n第三節 以Benhamou(2002)快速傅利葉轉換評價亞式選擇權．．．28\r\n第四節 近似封閉解評價公式準確度之比較．．．．．．．．．．34\r\n第五節 Caverhill and Clewlow(1992)、Benhamou (2002)\r\n 與倒數Gamma 分配評價方法準確性之比較．．．．． ．35\r\n第五章 結論．．．．．．．．．．．．．．．．．．．． ．41\r\n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 |
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