https://scholars.lib.ntu.edu.tw/handle/123456789/30320
Title: | 用在跳躍市場的隱式-顯式之定價方法 IMEX Method For A Market With Jumps |
Authors: | 張祐誠 Chang, You-Chen |
Keywords: | 有限插分方法;含有跳躍的擴散過程;隱式-顯式的方法;無條件地穩定;快速傅立葉轉換;朗格-古塔的方法;Finite difference method;Jump diffusion process;IMEX method;Unconditionally stable;Fast Fourier transform;Runge-Kutta scheme | Issue Date: | 2008 | Abstract: | 本篇論文主要是探討如何利用 IMEX 的方法為跳躍市場的選擇權定價。除了一階的方法之外,我們還會探討多階的 Runge-Kutta 方法。最後我們還會以數值的結果來探討利用 Runge-Kutta 方法的優勢所在。 This paper mainly discusses how to use the IMEX method to price options on a market with jumps. In addition to the first order method, we will discuss the IMEX Runge-Kutta method which is a higher order scheme. Finally, we will use the numerical examples to discuss the advantage of the IMEX Runge-Kutta method. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/180537 |
Appears in Collections: | 數學系 |
File | Description | Size | Format | |
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ntu-97-R94221033-1.pdf | 23.53 kB | Adobe PDF | View/Open |
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