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題名:最小平方法估計美式選擇權避險參數的穩健性
書刊名:臺灣期貨與衍生性商品學刊
作者:陳俊傑 引用關係
出版日期:2010
卷期:10
頁次:頁32-54
主題關鍵詞:幾何布朗運動美式選擇權避險參數最小平方蒙地卡羅法
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(0) 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:0
  • 共同引用共同引用:5
  • 點閱點閱:28
期刊論文
1.Martineau, D.、Barraquand, Jérôme(1995)。Numerical Valuation of High Dimensional Multivariate American Securities。Journal of Financial and Quantitative Analysis,30(3),383-405。  new window
2.Carriere, J(1996)。Valuation of Early-Exercise Price of Options Using Simulations and Nonparametric Regression。Insurance: Mathematics and Economics,19,19-30。  new window
3.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
4.Stentoft, Lars(2004)。Assessing the Least Squares Monte Carlo Approach to American Option Valuation。Review of Derivative Research,7(2),129-168。  new window
5.張森林、何振文(20021200)。蒙地卡羅模擬法在美式選擇權評價之應用。財務金融學刊,10(3),33-61。new window  延伸查詢new window
6.Boyle, P. P.(1986)。Option valuation using a three jump process。International Options Journal,3,7-12。  new window
7.Broadie, M.、Glasserman, P.(1997)。Pricing American-style securities using simulation。Journal of Economic Dynamics and Control,21(8),1323-1352。  new window
8.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
9.Boyle, Phelim P.(1977)。Options: A Monte Carlo Approach。Journal of Financial Economics,4(3),323-338。  new window
10.Tilley, J. A.(1993)。Valuing American Options in a Path Simulation Model。Transactions of the Society of Actuaries,45,83-104。  new window
11.Schwartz, Eduardo S.(1977)。The Valuation of Warrants: Implementing a New Approach。Journal of Financial Economics,4(1),79-93。  new window
12.Boyle, Phelim P.、Broadie, Mark、Glasserman, Paul(1997)。Monte Carlo Methods for Security Pricing。Journal of Economic Dynamics and Control,21(8/9),1267-1321。  new window
13.張森林(2005)。Monte Carlo Estimations of Greeks。台灣金融財務季刊,6(1),1-10。new window  延伸查詢new window
14.Jonen, C.(2009)。An efficient implementation of a least squares Monte Carlo method for valuing American-style options。International Journal of Computer Mathematics,86(6),1024-1039。  new window
15.Raymar, S.、M. J. Zwecher(1997)。Monte Carlo Estimation of American Call Options on the Maximum of Several Stocks。Journal of Derivatives,5(1),7-23。  new window
16.Broadie, M.、J.B. Detemple(1996)。American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods。Review of Financial Studies,9,1211-1250。  new window
17.Cortazar, G.、M. Gravet、J. Urzua(2008)。The Valuation of Multidimensional American Real Options Using the LSM Simulation Method。Computer & Operations Research,35,113-129。  new window
18.Cox, J. C.、S.A. Ross、M. Rubinstein(1979)。Option Pricing: A Simplied Approach。Journal of Financial Economics,7,229-263。  new window
19.Glasserman, P.、B. Yu(2004)。Number of Paths versus Number of Basis Functions in American Option Pricing。Annals of Applied Probability,14(4),2090-2119。  new window
圖書
1.Glasserman, P.(2004)。Monte Carlo Methods in Financial Engineering。New York, NY:Springer-Verlag。  new window
2.Jackel, Peter(2002)。Monte Carlo Methods in Finance。New York, NY:John Wiley & Sons。  new window
 
 
 
 
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