臺灣大學: 數學研究所姜祖恕; 張志中許姍祺Hsu, Shan-ChiShan-ChiHsu2013-03-212018-06-282013-03-212018-06-282011http://ntur.lib.ntu.edu.tw//handle/246246/249936在本文中，我們計算出在隨機波動率模型下的歐式下出局選擇權的均勻漸近展開，其中波動率的隨機性來自一具備均數復歸特性的隨機過程。並於文末針對此一計算模型在以文內提出的方式進行修正後，是否能求得更為精確之選擇權價格估計值一點進行討論。We calculate the uniform asymptotic expansion for European down-and-out barrier options under the stochastic volatility model, where the volatility is driven by a mean-reverting diffusion process. We also discuss whether the modified method of uniform asymptotic expansion which we used in the last chapter can approximate the price of option with more accuracy.310995 bytesapplication/pdfen-US歐式障礙選擇權均數復歸隨機過程選擇權定價隨機波動率均勻漸近展開European barrier optionMean-reverting processOption pricingStochastic volatilityUniform asymptotic expansion歐式下出局選擇權之均勻漸近展開Uniform Asymptotic Expansions for European Down-and-Out Barrier Optionsthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/249936/1/ntu-100-R97221041-1.pdf