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    Title: 重設型選擇權評價效率之加速方法-分解結合法
    Authors: 張龍福
    Contributors: 陳威光
    張龍福
    Keywords: 重設型選擇權
    三元樹模型
    界限選擇權
    認購權證
    分解結合法
    Date: 2001
    Issue Date: 2016-04-15 16:05:28 (UTC+8)
    Abstract: 選擇權的評價方式,一般可分封閉解(Closed-Form Solution)與數值方法(Numerical Method)兩大類。封閉解如Black-Sholes公式,其計算速度快,但缺乏彈性,例如無法評價美式選擇權及大部分的新奇選擇權;相反的,數值方法則是相當具有彈性,但卻會比較耗時。本文結合數值方法中的樹網模型,再輔以封閉解維持應有的彈性,加快計算速度,吾人將此方法稱之為分解結合法。
    Reference: (1)王志原(2000),「增進樹狀模型評價重設型選擇權效率之方法」,國立政治大學金融研究所碩士論文。
    (2)李存修,林岳賢(1999) 「重設選擇權之評價與避險操作」, 中國財務學刊論文。
    (3)陳威光(1999),「The Valuation and Hedging of Reset Option」,中國財務年會論文。
    (4)陳威光、張龍福、王志原(2001),「以分解結合法加速重設型選擇權評價效率」,二十一世紀全球投資交易策略研討會論文。
    (5)Ahn, Dong-Hyun 、 Stephen Figlewski and Bin Gao(1999),「Pricing Discrete Barrier Options with and Adaptive Mesh Model」, Journal of Derivatives,Summer,,33-43。
    (6)Barone-Adesi,,G. and R.E. Whalley(1987),「Efficient Analytic Approximation of American Option Values」, Journal of Finance,42(2), 301-320。
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    (12)Boyle , P.P. ( 1988), 「A Lattice Framework for Option Pricing with Two State Variables」, Journal of Financial and Quantitative Analysis, 3.23, pp.1-12。
    (13)Breen, R.(1991),「The Accelerated Binomial Option Pricing Model」,Journal of Financial and Quantitative Analysis,,26, 2, 153-164.。
    (14)Cheuk, T. H., and T. C. Vorst(1996),「Complex Barrier Options」,Journal of Derivatives,Fall,8-22.。
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    (16)Curran, Michael(1995),「Accelerating American Option Pricing In Lattices」, Journal of Derivatives,,Winter, 8-18.。
    (17)Derman Emanuel、Iraj Kani、Deniz Ergener、and Indrajit Bardhan(1995),「Enhanced Numerical Methods for Option with Barrier」,Financial Analysts Journal (Nov-Dec )”。
    (18)Figlewski, S., and B. Gao.(1999),「The Adaptive Mesh Model : A New Approach to Efficient Option Pricing」, Journal of Financial Economics,pp313-351。
    (19)Geske, R. and H.E. Johnson(1984),「The American Put Valued Aanalyticaally」,Journal of Finance,,39,December,1511-1542.。
    (20)Ju Nengjiu and Rui Zhong(1999),「An Approximate Formula for Pricing American Options」, Journal of Derivatives,,Winter, 31-40.。
    (21)Ho T.S., Richard C. Stapleton and Marti G. Subrahmanyam(1994),「A Simple Technique for the Valuation and Hedging of American Options」,Journal of Derivatives, Fall, 52-66.。
    (22)Mark Broadie and Jerome Detemple(1996),「American Option Valuation:New Bounds,Approximations,and a Comparison of Existing Method」,The Review of Financial Studies,Winter,1211-1250。
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    Description: 碩士
    國立政治大學
    經濟學系
    88258017
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001226
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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