A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility

碩士 === 國立交通大學 === 財務金融研究所 === 101 === The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility assumption. The basis of our paper is to use vanilla options to reproduce of a down-and-out call based on the paper of Ca...

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Main Authors:	Lai, Yung-Yu, 賴詠瑜
Other Authors:	Guo, Jia-Hau
Format:	Others
Language:	en_US
Published:	2013
Online Access:	http://ndltd.ncl.edu.tw/handle/14842540177315988391

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spelling	ndltd-TW-101NCTU53040452016-07-02T04:20:28Z http://ndltd.ncl.edu.tw/handle/14842540177315988391 A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility 在Heston’s Stochastic Volatility假設下，障礙選擇權的靜態避險策略 Lai, Yung-Yu 賴詠瑜碩士國立交通大學財務金融研究所 101 The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility assumption. The basis of our paper is to use vanilla options to reproduce of a down-and-out call based on the paper of Carr and Chou (1997b), and we take the optimization process for the static hedging strategy based on the paper of Zhuang (2008), and reducing the error. Then, we discuss the performance of the method we use.　 Guo, Jia-Hau 郭家豪 2013 學位論文 ; thesis 37 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	碩士 === 國立交通大學 === 財務金融研究所 === 101 === The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility assumption. The basis of our paper is to use vanilla options to reproduce of a down-and-out call based on the paper of Carr and Chou (1997b), and we take the optimization process for the static hedging strategy based on the paper of Zhuang (2008), and reducing the error. Then, we discuss the performance of the method we use.
author2	Guo, Jia-Hau
author_facet	Guo, Jia-Hau Lai, Yung-Yu 賴詠瑜
author	Lai, Yung-Yu 賴詠瑜
spellingShingle	Lai, Yung-Yu 賴詠瑜 A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility
author_sort	Lai, Yung-Yu
title	A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility
title_short	A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility
title_full	A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility
title_fullStr	A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility
title_full_unstemmed	A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility
title_sort	static hedging strategy for barrier options under heston's stochastic volatility
publishDate	2013
url	http://ndltd.ncl.edu.tw/handle/14842540177315988391
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A Static Hedging Strategy for Barrier Options Under Heston's Stochastic Volatility

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