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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2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41533416034777315592 |
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ndltd-TW-103NCTU53040502016-08-12T04:14:08Z http://ndltd.ncl.edu.tw/handle/41533416034777315592 A Modified Method of Generalized Static Hedging 優化障礙選擇權之一般性靜態避險策略 Wu,Pin-Yi 吳品毅 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. Guo,Jia-Hao 郭家豪 2015 學位論文 ; thesis 23 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
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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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| author2 |
Guo,Jia-Hao |
| author_facet |
Guo,Jia-Hao Wu,Pin-Yi 吳品毅 |
| author |
Wu,Pin-Yi 吳品毅 |
| spellingShingle |
Wu,Pin-Yi 吳品毅 A Modified Method of Generalized Static Hedging |
| author_sort |
Wu,Pin-Yi |
| title |
A Modified Method of Generalized Static Hedging |
| title_short |
A Modified Method of Generalized Static Hedging |
| title_full |
A Modified Method of Generalized Static Hedging |
| title_fullStr |
A Modified Method of Generalized Static Hedging |
| title_full_unstemmed |
A Modified Method of Generalized Static Hedging |
| title_sort |
modified method of generalized static hedging |
| publishDate |
2015 |
| url |
http://ndltd.ncl.edu.tw/handle/41533416034777315592 |
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