Numerical of Derivatives - Tree Methods

碩士 === 國立交通大學 === 應用數學系 === 89 === In this paper, we will introduce the European option pricing model developed by Black and Scholes in 1973. At the same time, it can approximate the Black-Scholes formula by many numerical methods, like binomial, trinomial, finite difference, implied tree...

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Main Authors:	Ku-Yuan Shih, 施冠宇
Other Authors:	Yuan-Chung Sheu
Format:	Others
Language:	zh-TW
Published:	2001
Online Access:	http://ndltd.ncl.edu.tw/handle/57753269195468415218

id	ndltd-TW-089NCTU0507014
record_format	oai_dc
spelling	ndltd-TW-089NCTU05070142016-01-29T04:28:15Z http://ndltd.ncl.edu.tw/handle/57753269195468415218 Numerical of Derivatives - Tree Methods 衍生性商品數值評價─樹狀圖法 Ku-Yuan Shih 施冠宇碩士國立交通大學應用數學系 89 In this paper, we will introduce the European option pricing model developed by Black and Scholes in 1973. At the same time, it can approximate the Black-Scholes formula by many numerical methods, like binomial, trinomial, finite difference, implied tree, etc. We will compute the reasonable price of American option furthermore. Finally, we compute the Lookback option price by these numerical methods and use root mean square error (RMSE) to investigate the accuracies between different numerical methods with parameters. Yuan-Chung Sheu 許元春 2001 學位論文 ; thesis 69 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立交通大學 === 應用數學系 === 89 === In this paper, we will introduce the European option pricing model developed by Black and Scholes in 1973. At the same time, it can approximate the Black-Scholes formula by many numerical methods, like binomial, trinomial, finite difference, implied tree, etc. We will compute the reasonable price of American option furthermore. Finally, we compute the Lookback option price by these numerical methods and use root mean square error (RMSE) to investigate the accuracies between different numerical methods with parameters.
author2	Yuan-Chung Sheu
author_facet	Yuan-Chung Sheu Ku-Yuan Shih 施冠宇
author	Ku-Yuan Shih 施冠宇
spellingShingle	Ku-Yuan Shih 施冠宇 Numerical of Derivatives - Tree Methods
author_sort	Ku-Yuan Shih
title	Numerical of Derivatives - Tree Methods
title_short	Numerical of Derivatives - Tree Methods
title_full	Numerical of Derivatives - Tree Methods
title_fullStr	Numerical of Derivatives - Tree Methods
title_full_unstemmed	Numerical of Derivatives - Tree Methods
title_sort	numerical of derivatives - tree methods
publishDate	2001
url	http://ndltd.ncl.edu.tw/handle/57753269195468415218
work_keys_str_mv	AT kuyuanshih numericalofderivativestreemethods AT shīguānyǔ numericalofderivativestreemethods AT kuyuanshih yǎnshēngxìngshāngpǐnshùzhípíngjiàshùzhuàngtúfǎ AT shīguānyǔ yǎnshēngxìngshāngpǐnshùzhípíngjiàshùzhuàngtúfǎ
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Numerical of Derivatives - Tree Methods

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