A Modified Method of Generalized Static Hedging
碩士 === 國立交通大學 === 財務金融研究所 === 103 === The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility model. We refer to Fink’s static replication method (2003) and the modified DEK static replication approach provided by C...
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| Format: | Others |
| Language: | zh-TW |
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2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41533416034777315592 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 103 === The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility model. We refer to Fink’s static replication method (2003) and the modified DEK static replication approach provided by Chung, Shih and Tsai (2009), and try to modified the method to reduce the error. Then discuss the applicability of this method.
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