Numerical Evaluation of Path-Dependent Options

碩士 === 逢甲大學 === 應用數學所 === 95 === This paper discusses the pricing methods of European-style path- dependent option. we divided path-dependent option into barrier option , lookback option , asian option. These three options’ price depended on the value of the underlying assets of the historical price...

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Main Authors:	Fang-an Kuo, 郭芳安
Other Authors:	Tzyy-leng Horng
Format:	Others
Language:	zh-TW
Published:	2007
Online Access:	http://ndltd.ncl.edu.tw/handle/71730791606163747548

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spelling	ndltd-TW-095FCU055070152015-10-13T11:31:40Z http://ndltd.ncl.edu.tw/handle/71730791606163747548 Numerical Evaluation of Path-Dependent Options 路徑相依選擇權之數值評價 Fang-an Kuo 郭芳安碩士逢甲大學應用數學所 95 This paper discusses the pricing methods of European-style path- dependent option. we divided path-dependent option into barrier option , lookback option , asian option. These three options’ price depended on the value of the underlying assets of the historical price. In this paper , we will look around the literature about path-dependent option and explain path-dependent option pricing issues by the finite difference method , the Monte Carlo method, and probability distribution function. Tzyy-leng Horng 洪子倫 2007 學位論文 ; thesis 77 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 逢甲大學 === 應用數學所 === 95 === This paper discusses the pricing methods of European-style path- dependent option. we divided path-dependent option into barrier option , lookback option , asian option. These three options’ price depended on the value of the underlying assets of the historical price. In this paper , we will look around the literature about path-dependent option and explain path-dependent option pricing issues by the finite difference method , the Monte Carlo method, and probability distribution function.
author2	Tzyy-leng Horng
author_facet	Tzyy-leng Horng Fang-an Kuo 郭芳安
author	Fang-an Kuo 郭芳安
spellingShingle	Fang-an Kuo 郭芳安 Numerical Evaluation of Path-Dependent Options
author_sort	Fang-an Kuo
title	Numerical Evaluation of Path-Dependent Options
title_short	Numerical Evaluation of Path-Dependent Options
title_full	Numerical Evaluation of Path-Dependent Options
title_fullStr	Numerical Evaluation of Path-Dependent Options
title_full_unstemmed	Numerical Evaluation of Path-Dependent Options
title_sort	numerical evaluation of path-dependent options
publishDate	2007
url	http://ndltd.ncl.edu.tw/handle/71730791606163747548
work_keys_str_mv	AT fangankuo numericalevaluationofpathdependentoptions AT guōfāngān numericalevaluationofpathdependentoptions AT fangankuo lùjìngxiāngyīxuǎnzéquánzhīshùzhípíngjià AT guōfāngān lùjìngxiāngyīxuǎnzéquánzhīshùzhípíngjià
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Numerical Evaluation of Path-Dependent Options

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