DC 欄位 | 值 | 語言 |
dc.contributor | 彭栢堅 | zh-TW |
dc.contributor | 臺灣大學:數學研究所 | zh-TW |
dc.contributor.author | 張祐誠 | zh-TW |
dc.contributor.author | Chang, You-Chen | en |
dc.creator | 張祐誠 | zh-TW |
dc.creator | Chang, You-Chen | en |
dc.date | 2008 | en |
dc.date.accessioned | 2010-05-05T10:29:26Z | - |
dc.date.accessioned | 2018-06-28T09:13:38Z | - |
dc.date.available | 2010-05-05T10:29:26Z | - |
dc.date.available | 2018-06-28T09:13:38Z | - |
dc.date.issued | 2008 | - |
dc.identifier.other | U0001-0307200819044300 | en |
dc.identifier.uri | http://ntur.lib.ntu.edu.tw//handle/246246/180537 | - |
dc.description.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。 | zh-TW |
dc.description.abstract | 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. | en |
dc.description.tableofcontents | 中文摘要 . . i 文摘要 . . i 一章 Introduction . . 1 二章 Jump diffusion model and European option . . 2 2.1 Some background knowledge . . 2 .2 PIDE for pricing European options in a market with jumps . . 4 .3 IMEX on PIDE . . 6 .4 FFT implementation . . 10 三章 Jump diffusion model and American option: he first algorithm . . 12 四章 Jump diffusion model and American option: MEX Runge-Kutta scheme . . 17 五章 Numerical comparison of the two algorithms . . 27 amp;#63851;考文獻 . . 31 | en |
dc.format | application/pdf | en |
dc.format.extent | 298904 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language | en | en |
dc.language.iso | en_US | - |
dc.subject | 有限插分方法 | zh-TW |
dc.subject | 含有跳躍的擴散過程 | zh-TW |
dc.subject | 隱式-顯式的方法 | zh-TW |
dc.subject | 無條件地穩定 | zh-TW |
dc.subject | 快速傅立葉轉換 | zh-TW |
dc.subject | 朗格-古塔的方法 | zh-TW |
dc.subject | Finite difference method | en |
dc.subject | Jump diffusion process | en |
dc.subject | IMEX method | en |
dc.subject | Unconditionally stable | en |
dc.subject | Fast Fourier transform | en |
dc.subject | Runge-Kutta scheme | en |
dc.title | 用在跳躍市場的隱式-顯式之定價方法 | zh-TW |
dc.title | IMEX Method For A Market With Jumps | zh |
dc.type | thesis | en |
dc.identifier.uri.fulltext | http://ntur.lib.ntu.edu.tw/bitstream/246246/180537/1/ntu-97-R94221033-1.pdf | - |
item.languageiso639-1 | en_US | - |
item.fulltext | with fulltext | - |
item.grantfulltext | open | - |
item.openairetype | thesis | - |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.cerifentitytype | Publications | - |
顯示於: | 數學系
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