The Pricing of Continuous Two-Asset Barrier Option with Boundary Integral Method
碩士 === 國立成功大學 === 數學系應用數學碩博士班 === 94 === In study, a boundary integral method is designed to evaluation barrier option. The parabolic PDE（Partial Differential Equation）is transformed into a linear homogeneous equation, then the boundary integral representation is derived. A two dimensional numerical...
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2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/40639391442613366608 |
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ndltd-TW-094NCKU55070022016-05-30T04:21:57Z http://ndltd.ncl.edu.tw/handle/40639391442613366608 The Pricing of Continuous Two-Asset Barrier Option with Boundary Integral Method 兩資產障礙選擇權之評價－應用邊界積分法 Keng-Yu Lin 林耕宇 碩士 國立成功大學 數學系應用數學碩博士班 94 In study, a boundary integral method is designed to evaluation barrier option. The parabolic PDE（Partial Differential Equation）is transformed into a linear homogeneous equation, then the boundary integral representation is derived. A two dimensional numerical integration is applied to the representation. An example with exact solution is used to test the numerical method. The result is highly accurate. Two practical examples are evaluated with this method. The results are used to compare with the valuation of two assets discrete barrier option, and sensitive analysis for parameters is presented. Shin-Yu Shen 沈士育 2006 學位論文 ; thesis 73 zh-TW |
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zh-TW |
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Others
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NDLTD |
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碩士 === 國立成功大學 === 數學系應用數學碩博士班 === 94 === In study, a boundary integral method is designed to evaluation barrier option. The parabolic PDE（Partial Differential Equation）is transformed into a linear homogeneous equation, then the boundary integral representation is derived. A two dimensional numerical integration is applied to the representation. An example with exact solution is used to test the numerical method. The result is highly accurate.
Two practical examples are evaluated with this method. The results are used to compare with the valuation of two assets discrete barrier option, and sensitive analysis for parameters is presented.
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| author2 |
Shin-Yu Shen |
| author_facet |
Shin-Yu Shen Keng-Yu Lin 林耕宇 |
| author |
Keng-Yu Lin 林耕宇 |
| spellingShingle |
Keng-Yu Lin 林耕宇 The Pricing of Continuous Two-Asset Barrier Option with Boundary Integral Method |
| author_sort |
Keng-Yu Lin |
| title |
The Pricing of Continuous Two-Asset Barrier Option with Boundary Integral Method |
| title_short |
The Pricing of Continuous Two-Asset Barrier Option with Boundary Integral Method |
| title_full |
The Pricing of Continuous Two-Asset Barrier Option with Boundary Integral Method |
| title_fullStr |
The Pricing of Continuous Two-Asset Barrier Option with Boundary Integral Method |
| title_full_unstemmed |
The Pricing of Continuous Two-Asset Barrier Option with Boundary Integral Method |
| title_sort |
pricing of continuous two-asset barrier option with boundary integral method |
| publishDate |
2006 |
| url |
http://ndltd.ncl.edu.tw/handle/40639391442613366608 |
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