A Modified AMM Method for OptionPricing

碩士 === 國立中正大學 === 應用數學研究所 === 94 === This thesis will be proposed how to let it honour an agreement and present at the price in the better position of the thinnest net of AMM, and test the precision whether this kind of optimization tactics can promote AMM method . In addition, in the AMM methods of...

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Bibliographic Details
Main Authors: Yun-ting Chi, 紀昀廷
Other Authors: Chen-yao Lai
Format: Others
Language:zh-TW
Online Access:http://ndltd.ncl.edu.tw/handle/89301184971925764069
Description
Summary:碩士 === 國立中正大學 === 應用數學研究所 === 94 === This thesis will be proposed how to let it honour an agreement and present at the price in the better position of the thinnest net of AMM, and test the precision whether this kind of optimization tactics can promote AMM method . In addition, in the AMM methods of Figlewski and Gao, the accuracy received of AMM net structure of more than three layers does not have apparent improvement, still need to count in order to try to get accurate estimated value with the cut which increases original time, increase original time is it count to cut , mean calculation amount , increase of time. So, we will try how to cut the time of the whole to do efficient distribution, by reducing the speed increasing of the calculating amount.