國立臺灣大學資訊工程學系Kao, Chih-HaoChih-HaoKao2006-09-272018-07-052006-09-272018-07-052002-04-18http://ntur.lib.ntu.edu.tw//handle/246246/20060927122857492521This thesis investigates computational methods for pricing complex path-dependent derivative securities, especially geometric- & arithmetic-moving-average-lookback options. The latter security was rst issued by Polaris Securities in 1999. Our method- ology can be easily modied to price similarly structured options issued by other securities rms.application/pdf473407 bytesapplication/pdfzh-TWreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/20060927122857492521/1/thesis_r89723057.pdf