# 臺灣博碩士論文加值系統

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 本論文主要在提供幾種有效的財務模型做為您評價重設型權證之參考。我們先從最為人所知的Binomial Tree開始，然後再探討較少為人使用的幾何數學模型、Trinomial Tree及Exotic option pricing 常使用的Monte Carlo Simulation，最後則是對各個財務模型做一番比較。
 The purpose of this thesis is to provide some useful finanical models for pricing reset options. We will start with the most commonly known binomial model. Then, we will go through some other models that can also be used to price reset options. Lastly, we would compare those financial models and try to find out the differences between those models.
 TABLE OF CONTENT Acknowledgements Abstract List of Tables List of Figures CHAPTER 1 INTRODUCTION 1.1 Background 1.2 Motivation 1.3 Objective of the Study CHAPTER 2 RESEARCH FRAMEWORK 2.1 Introduction to Reset Option 2.1.1 Definition of Reset Option 2.1.2 A Review of Different Type of Reset Option 2.2 A Review of Past Approaches 2.1.1 Introduction to Pricing Models of Reset Option 2.1.2 A Review of Different Types of Reset Options 2.1.2A A Partial Look-Back Option 2.1.2B American Bear Market Warrants with A Periodic Reset (B).1 Closed-form Solution of Bear Market Warrant (B).2 The Binomial Model CHAPTER 3 THE BINOMIAL MODEL 3.1 Risk-neutral valuation 3.2 Determination of p, u, and d 3.3 Working Backward through the Binomial Tree 3.4 To Price An American Reset Put Through The Binomial Model 3.5 How to turn the binomial model into computer program 3.6 Some issues need to be taken into account] CHAPTER 4 GEOMETRIC MATHEMATICS 4.1 Risk-neutral valuation 4.2 An introduction to Geometric Mathematics 4.3 To Price a Reset Option Through Geometric Mathematics 4.3.1 A reset call option 4.3.2 A reset put option 4.4 An Introduction to Barrier Option] 4.4.1 In option 4.4.2 Out option 4.5 Price Barrier Options through Geometric Mathematics 4.6 Determine the best partitions and effective strike/reset price 4.6.1 The Algorithm for finding the best partitions CHAPTER 5 TRINOMIAL TREE 5.1 Setting the Trinomial Model Parameters 5.2 Pricing Reset Option CHAPTER 6 MONTE CARLO SIMULATION 6.1 Monte Carlo Simulation 6.2 Take a Further Look Into Monte Carlo Simulation 6.2.1 Generating the Random Samples 6.2.2 Number of Trials 6.3 Variance Reduction - Antithetic Variable Technique 6.4 Price European Reset Option through Monte Carlo Simulation CHAPTER 7 CONCLUSIONS AND FUTURE RESEARCH 7.1 Convergence Rate for European Reset Option 7.1.1 Comparison of Convergence Rate through Different Models 7.1.2 Best Partition for Binomial Model and Geometric Mathematics Model 7.2 Further insight into the convergence rate of Monte Carlo Simulation 7.3 Pros and Cons of Different Pricing Models
 Exhibit 2.1 A Reset Call OptionExhibit 2.2 Reset Effect of A Reset or Partial Look-Back Call OptionExhibit 2.3 Payout of A Bear Market WarrantExhibit 2.4 Binomial Model For American Bear Market Reset WarrantExhibit 3.1 Stock price S movement in time Δt under the binomial modelExhibit 3.2 Binomial Tree for American Reset Put on non-dividend-paying stockExhibit 4.1 Geometric MathematicsExhibit 4.2 A Reset Call OptionExhibit 4.3 A Reset Put OptionExhibit 4.4 Payout of A Down-and in CallExhibit 4.5 Valuation of a Down-and-In CallExhibit 4.6 Payout of A Down-and-out CallExhibit 4.7 Estimated Values of Down-and-Out CallExhibit 4.8 Geometric Mathematics ModelExhibit 4.9Exhibit 4.10 Determine the Best PartitionExhibit 5.1 Backward InductionExhibit 7.1 Convergence Rate of Different ModelsExhibit 7.2 Convergence Rate of Binomial Model and Geometric Mathematics ModelExhibit 7.3Exhibit 7.4 Convergence Rate of Monte Carlo SimulationExhibit 7.5 Convergence Rate of Monte Carlo Simulation
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 1 附認股權公司債之評價分析 2 蒙地卡羅模擬法於衍生性金融商品評價之應用

 1 [1] 黃玉娟、徐守德(1999)，「台股指數現貨與期貨市場價格動態關聯性之研究」，證券市場發展季刊，9-3,pp.1-2 2 [2] 賴弘裕(1997)，「海外台股指數期貨交易概況」，證券公會雙月刊，10，pp.1-15。

 1 重設型選擇權評價模型 2 增進樹狀模型評價重設型選擇權效率之方法 3 用蒙地卡羅最小平方法評價美式移動平均選擇權 4 控制變數法在數值選擇權評價模型之應用分析 5 微笑現象下之選擇權評價與隱含二元樹 6 以CRR二元樹狀模型評價重設回顧選擇權 7 選擇權評價之可彈性調整樹狀模型的可行性 8 藉二項式選擇權評價模式預測臺灣指數選擇權之決策行為研究 9 控制變數技術選擇權評價:應用浮動二項樹模型 10 模糊三項式樹狀選擇權評價模型 11 多資產離散式障礙選擇權評價--RecursiveIntegralMethod 12 移動平均回顧型選擇權之評價 13 GARCH選擇權評價模型----理論與應用 14 外匯界限選擇權評價--AMM之應用 15 評價亞式重設選擇權之數值方法

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