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題名:樹狀模型對美式亞式選擇權評價之比較分析
書刊名:臺灣期貨與衍生性商品學刊
作者:王克陸許明峰 引用關係遲廷俊
出版日期:2008
卷期:6
頁次:頁1-27
主題關鍵詞:二元樹狀模型蒙地卡羅模擬法美式亞式選擇權
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:30
期刊論文
1.Chalasani, P.、Jha. S.、Varikooty, A.(1998)。Accuratc approximations for Eviropean-style Asian options。Journal of Computational Finance,1(4),11-30。  new window
2.Chalasani, P.、Jha, S.、Egriboyun, F.、Varikooly, A.(1999)。A refined binomial lattice for pricing American Asian options。Review of Derivatives Research,3(1),85-105。  new window
3.Costabile, M.、Massabo, I.、Russo, E.(2006)。An adjusted binomial model for pricing Asian options。Review of Quantitative Finance and Accounting,27(3),285-296。  new window
4.Dai, T. S.、Lyuu, Y, D.(2002)。Efficient, Exact Algorithms for Asian Options Algorithms with Multiresolution Lattices。Review of Derivatives Researches,5,181-203。  new window
5.D'Halluin, Y.、Forsyth, P. A.、Labahn, G.(2005)。A semi-Lagrangian approach for American Asian options under jump diffusion。SIAM Journal of Scientific Comnuting,27(1),315-345。  new window
6.Milevsky, M. A.、Posner, S. E.(1998)。Asian options, the sum of lognoraials, and the reciprocal Gamma distribution。Journal of Financial and Quantitative Analysis,33,409-422。  new window
7.Vcccr, J.(2001)。Anew PDE approach for pricing arithmetic average Asian options。Journal of Computational Finance,4(4),105-113。  new window
8.Carriere, J(1996)。Valuation of Early-Exercise Price of Options Using Simulations and Nonparametric Regression。Insurance: Mathematics and Economics,19,19-30。  new window
9.Dai, T. S.、Huang, G. -S.、Lyuu, Y. -D.(2005)。An Efficient Convergent Lattice Algorithm for European Asian Options。Applied Mathematics and Computation,169,1458-1471。  new window
10.Tsitsiklis, John N.、Van Roy, Benjamin(1999)。Optimal stopping of Markov processes: Hilbert Space Theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives。IEEE Transactions on Automatic Control,44,1840-1851。  new window
11.Longstaff, F. A.、Schwartz, E. A.(2001)。Valuing American options by simulation: A simple least-squares approach。Review of Financial Studies,14,113-147。  new window
12.Grant, D.、Vora, G.、Week, D.(199711)。Path-Dependent Options: Extending the Monle Carlo Simulation Approach。Management Science,43,1589-1602。  new window
13.Tilley, J. A.(1993)。Valuing American Options in a Path Simulation Model。Transactions of the Society of Actuaries,45,83-104。  new window
14.Hull, John C.、White, Alan D.(1993)。Efficient procedures for valuing European and American path-dependent options。Journal of Derivatives,1(1),21-31。  new window
15.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
16.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
研究報告
1.Dai, T. S.(2004)。Pricing Asian Options on Lattices。National Taiwan University。  new window
圖書
1.Dai, T. S.、Wang, J. Y.、Wei, S.(2007)。An Tnuenious, Piecewise Linear Interpolalion Algorithm for Pricing Arithmetic Average Options。Lecture Notes in Computer Science。  new window
 
 
 
 
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