American Option Pricing Under Stochastic Volatility

碩士 === 南台科技大學 === 財務金融系 === 95 === The main objective of this dissertation is to investigate the effectiveness of finite difference method (FDM) for pricing different options under Heston stochastic volatility model (1993). FDM is firstly used for pricing European and American options and its result...

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Main Authors:	Chen Kuan Chun, 陳冠群
Other Authors:	梁雪富
Format:	Others
Language:	en_US
Published:	2007
Online Access:	http://ndltd.ncl.edu.tw/handle/28373362679470217634

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spelling	ndltd-TW-095STUT02140122016-11-22T04:13:17Z http://ndltd.ncl.edu.tw/handle/28373362679470217634 American Option Pricing Under Stochastic Volatility 隨機波動模型下美式選擇權之評價 Chen Kuan Chun 陳冠群碩士南台科技大學財務金融系 95 The main objective of this dissertation is to investigate the effectiveness of finite difference method (FDM) for pricing different options under Heston stochastic volatility model (1993). FDM is firstly used for pricing European and American options and its results compared with published works to validate the correctness of its implementation; then, acting on Heston model parameters, a sensitivity analysis of American options free boundaries, is performed. This free boundary analysis helps to explain the risk of parametric uncertainty. 梁雪富 2007 學位論文 ; thesis 57 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	碩士 === 南台科技大學 === 財務金融系 === 95 === The main objective of this dissertation is to investigate the effectiveness of finite difference method (FDM) for pricing different options under Heston stochastic volatility model (1993). FDM is firstly used for pricing European and American options and its results compared with published works to validate the correctness of its implementation; then, acting on Heston model parameters, a sensitivity analysis of American options free boundaries, is performed. This free boundary analysis helps to explain the risk of parametric uncertainty.
author2	梁雪富
author_facet	梁雪富 Chen Kuan Chun 陳冠群
author	Chen Kuan Chun 陳冠群
spellingShingle	Chen Kuan Chun 陳冠群 American Option Pricing Under Stochastic Volatility
author_sort	Chen Kuan Chun
title	American Option Pricing Under Stochastic Volatility
title_short	American Option Pricing Under Stochastic Volatility
title_full	American Option Pricing Under Stochastic Volatility
title_fullStr	American Option Pricing Under Stochastic Volatility
title_full_unstemmed	American Option Pricing Under Stochastic Volatility
title_sort	american option pricing under stochastic volatility
publishDate	2007
url	http://ndltd.ncl.edu.tw/handle/28373362679470217634
work_keys_str_mv	AT chenkuanchun americanoptionpricingunderstochasticvolatility AT chénguānqún americanoptionpricingunderstochasticvolatility AT chenkuanchun suíjībōdòngmóxíngxiàměishìxuǎnzéquánzhīpíngjià AT chénguānqún suíjībōdòngmóxíngxiàměishìxuǎnzéquánzhīpíngjià
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American Option Pricing Under Stochastic Volatility

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