Numerical Valuation of Discrete Barrier Options with the Adaptive Mesh Model and Other Competing Techniques

國立臺灣大學資訊工程學系Lyuu, Yuh-DauhYuh-DauhLyuuShea, Chih-JuiChih-JuiShea2006-09-272018-07-052006-09-272018-07-052005http://ntur.lib.ntu.edu.tw//handle/246246/20060927122838382151This thesis develops an Adaptive Mesh Model for pricing discrete double barrier options. Adaptive Mesh Model is a kind of trinomial tree lattice that applying higher resolution to where nonlinearity errors occur. After the Adaptive Mesh Model for discrete single barrier options was proposed in 1999 by Ahn, Figlewski, & Gao, there is no further research has been done in Adaptive Mesh Model for discrete barriers...application/pdf1032025 bytesapplication/pdfzh-TWAdaptive Meshnumerical valuation techniquesdiscrete barrier optionsdouble barrier optionstrinomial treesenhanced trinomial treesBGK modelquadrature methodoption pricingNumerical Valuation of Discrete Barrier Options with the Adaptive Mesh Model and Other Competing Techniquesreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/20060927122838382151/1/sample_thesis.pdf