Add to ORKGMasterCox, Ross and Rubinstein [16]에 의해 소개된 이항 모형은 옵션의 가격 결정 방법으로 널리 사용 되어왔고, Amin[2]에 의해 점프-확산 모형하의 옵션의 가격 결정 방법으로 확장되었다. 본 논문에서는 점프-확산 모형하의 경로 의존형 옵션의 가격 결정 방법을 위해 이항 모형을 사용하였다. 또한 수치 해석적 방법과 편미분 방정식의 점도해(viscosity solution) 개념을 이용하여 경로 의존형 옵션에 관한 이항 모형이 지배 방정식의 해로 수렴하는 것을 보였다
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Nowadays, the regime switching model has become a popular model in mathematical finance and actuaria...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
MasterOption contracts have become increasingly important in the field of financesince they possess ...
AbstractThis paper studies the numerical approximation for an European option pricing model with jum...
When the underlying asset of an option displays oscillations, spikes or heavy-tailed distributions, ...
International audienceTree methods are among the most popular numerical methods to price financial d...
AbstractThe binomial tree method (BTM), first proposed by Cox et al. (1979) [4] in diffusion models ...
Merton (1976) provides a jump-diffusion model, where the dynamics of the price of the underlying are...
[[abstract]]近年來衍生性商品的卓越發展，造就了信用衍生性商品的出現，其中又以1995年在美國首度公開發行之信用違約交換(CDS)其交易量為最大宗，爾後又於2004年在美國首度公開發行一種可...
AbstractThe binomial tree methods (BTM), first proposed by Cox, Ross and Rubinstein [J. Cox, S. Ross...
在假定标的资产价格服从纯生跳跃过程的条件下,研究一类多资产期权——资产权重不同的交换期权,并在风险中性的条件下建立相应的定价方程,运用条件期望等相关知识得出交换期权的解析公式。文中最后列出一些特殊纯生...
在既有的文獻中，關於彩虹選擇權的評價以及跳躍擴散模型下的單一資產評價文獻都已發展得相當成熟，但卻沒有文獻推導在跳躍擴散模型下的彩虹選擇權評價公式。為解決此問題，我以機率測度轉換方式以及平賭評價方法，於...
[[abstract]]The binominal option pricing model developed by Cox, Ross, and Rubinstein (1979), is an ...
近年來衍生性金融商品發展相當迅速，亦發展出許多訂價商品的方法，例如二項樹、偏微分方程、平賭過程及蒙地卡羅法等等。其中二項樹模型是最簡單也廣泛的為人所用，但是其收斂並非平滑收斂，有許多學者為改善收斂行為...
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Nowadays, the regime switching model has become a popular model in mathematical finance and actuaria...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
MasterOption contracts have become increasingly important in the field of financesince they possess ...
AbstractThis paper studies the numerical approximation for an European option pricing model with jum...
When the underlying asset of an option displays oscillations, spikes or heavy-tailed distributions, ...
International audienceTree methods are among the most popular numerical methods to price financial d...
AbstractThe binomial tree method (BTM), first proposed by Cox et al. (1979) [4] in diffusion models ...
Merton (1976) provides a jump-diffusion model, where the dynamics of the price of the underlying are...
[[abstract]]近年來衍生性商品的卓越發展，造就了信用衍生性商品的出現，其中又以1995年在美國首度公開發行之信用違約交換(CDS)其交易量為最大宗，爾後又於2004年在美國首度公開發行一種可...
AbstractThe binomial tree methods (BTM), first proposed by Cox, Ross and Rubinstein [J. Cox, S. Ross...
在假定标的资产价格服从纯生跳跃过程的条件下,研究一类多资产期权——资产权重不同的交换期权,并在风险中性的条件下建立相应的定价方程,运用条件期望等相关知识得出交换期权的解析公式。文中最后列出一些特殊纯生...
在既有的文獻中，關於彩虹選擇權的評價以及跳躍擴散模型下的單一資產評價文獻都已發展得相當成熟，但卻沒有文獻推導在跳躍擴散模型下的彩虹選擇權評價公式。為解決此問題，我以機率測度轉換方式以及平賭評價方法，於...
[[abstract]]The binominal option pricing model developed by Cox, Ross, and Rubinstein (1979), is an ...
近年來衍生性金融商品發展相當迅速，亦發展出許多訂價商品的方法，例如二項樹、偏微分方程、平賭過程及蒙地卡羅法等等。其中二項樹模型是最簡單也廣泛的為人所用，但是其收斂並非平滑收斂，有許多學者為改善收斂行為...
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Nowadays, the regime switching model has become a popular model in mathematical finance and actuaria...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...