DC 欄位 | 值 | 語言 |
dc.contributor | 國立臺灣大學資訊工程學系 | zh_TW |
dc.contributor.author | Lyuu, Yuh-Dauh | en |
dc.contributor.author | Liu, Chun-Yang | en |
dc.creator | Lyuu, Yuh-Dauh; Liu, Chun-Yang | - |
dc.date | 2005 | - |
dc.date.accessioned | 2006-09-27T10:57:57Z | - |
dc.date.accessioned | 2018-07-05T01:27:54Z | - |
dc.date.available | 2006-09-27T10:57:57Z | - |
dc.date.available | 2018-07-05T01:27:54Z | - |
dc.date.issued | 2005 | - |
dc.identifier | 20060927122853632213 | zh_TW |
dc.identifier.uri | http://ntur.lib.ntu.edu.tw//handle/246246/20060927122853632213 | - |
dc.description.abstract | The GARCH model has been successful in describing the volatility dynamics of asset return series. However, tree-based GARCH option pricing algorithms su®er from exponential running time, inaccuracy, or other problems. Lyuu & Wu proved that the trinomial-tree option pricing algorithms of Ritchken & Trevor (1999) & Cakici & Topyan (2000) explode exponentially when
the number of partitions per day, n, exceeds a threshold determined by the GARCH parameters. The improved algorithm of Lyuu & Wu (2003) still
contains some problems. For example, the option prices su®er a trend to deviate from true values as n increases. This thesis proposes a new method-
ology to further improve the Lyuu-Wu algorithm by addressing this problem. We will confirm our algorithm's e±ciency & accuracy with numerical experiments. | en |
dc.format | application/pdf | zh_TW |
dc.format.extent | 236321 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language | zh-TW | zh_TW |
dc.language.iso | zh_TW | - |
dc.publisher | 臺北市:國立臺灣大學資訊工程學系 | zh_TW |
dc.source | http://www.csie.ntu.edu.tw/~lyuu/theses/thesis_r92922123.pdf | zh_TW |
dc.subject | GARCH model | en |
dc.subject | trinomial tree | en |
dc.subject | option pricing | en |
dc.subject | cubic interpola-tion | en |
dc.title | On Accurate Trinomial GARCH Option Pricing Algorithms | en |
dc.type | report | en |
dc.identifier.uri.fulltext | http://ntur.lib.ntu.edu.tw/bitstream/246246/20060927122853632213/1/thesis_r92922123.pdf | - |
item.openairecristype | http://purl.org/coar/resource_type/c_93fc | - |
item.fulltext | with fulltext | - |
item.openairetype | report | - |
item.grantfulltext | open | - |
item.languageiso639-1 | zh_TW | - |
item.cerifentitytype | Publications | - |
crisitem.author.dept | Networking and Multimedia | - |
crisitem.author.dept | Computer Science and Information Engineering | - |
crisitem.author.dept | Finance | - |
crisitem.author.orcid | 0000-0003-2079-8825 | - |
crisitem.author.parentorg | College of Electrical Engineering and Computer Science | - |
crisitem.author.parentorg | College of Electrical Engineering and Computer Science | - |
crisitem.author.parentorg | College of Management | - |
顯示於: | 資訊工程學系
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