The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing

碩士 === 義守大學 === 財務金融學系 === 92 === Using flexible binomial model can improve the disadvantage of binomial model that it fluctuates in a sawtooth pattern, and converges smoothly. However, the flexible binomial model is computationally inefficient; the control variate technique can be used to improve t...

Full description

Bibliographic Details
Main Author:	鍾澤邦
Other Authors:	郎正廉
Format:	Others
Language:	zh-TW
Published:	2004
Online Access:	http://ndltd.ncl.edu.tw/handle/84753147425076710510

id	ndltd-TW-092ISU00304007
record_format	oai_dc
spelling	ndltd-TW-092ISU003040072016-01-04T04:09:17Z http://ndltd.ncl.edu.tw/handle/84753147425076710510 The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing 控制變數技術選擇權評價:應用浮動二項樹模型鍾澤邦碩士義守大學財務金融學系 92 Using flexible binomial model can improve the disadvantage of binomial model that it fluctuates in a sawtooth pattern, and converges smoothly. However, the flexible binomial model is computationally inefficient; the control variate technique can be used to improve the efficiency of the flexible binomial model. Not only American option, but we use the control variate technique to improve the efficiency of barrier option. Consequently, we find that continuous and discrete barrier option can use the control variate technique to improve the efficiency. 郎正廉 2004 學位論文 ; thesis 30 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 義守大學 === 財務金融學系 === 92 === Using flexible binomial model can improve the disadvantage of binomial model that it fluctuates in a sawtooth pattern, and converges smoothly. However, the flexible binomial model is computationally inefficient; the control variate technique can be used to improve the efficiency of the flexible binomial model. Not only American option, but we use the control variate technique to improve the efficiency of barrier option. Consequently, we find that continuous and discrete barrier option can use the control variate technique to improve the efficiency.
author2	郎正廉
author_facet	郎正廉鍾澤邦
author	鍾澤邦
spellingShingle	鍾澤邦 The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing
author_sort	鍾澤邦
title	The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing
title_short	The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing
title_full	The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing
title_fullStr	The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing
title_full_unstemmed	The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing
title_sort	application of control variate technique using flexible binomial model in option pricing
publishDate	2004
url	http://ndltd.ncl.edu.tw/handle/84753147425076710510
work_keys_str_mv	AT zhōngzébāng theapplicationofcontrolvariatetechniqueusingflexiblebinomialmodelinoptionpricing AT zhōngzébāng kòngzhìbiànshùjìshùxuǎnzéquánpíngjiàyīngyòngfúdòngèrxiàngshùmóxíng AT zhōngzébāng applicationofcontrolvariatetechniqueusingflexiblebinomialmodelinoptionpricing
_version_	1718160120721965056

The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing

Similar Items