English  |  正體中文  |  简体中文  |  Items with full text/Total items : 66984/66984 (100%)
Visitors : 22635571      Online Users : 254
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version


    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/68869


    Title: 探討 Heston模型下的參數校準:以外匯、 台指選擇權為例;Discussion Heston Model parameters of calibration: Based on FX option、TXO option
    Authors: 林家豪;Lin,Chia-hao
    Contributors: 數學系
    Keywords: 參數校準
    Date: 2015-07-22
    Issue Date: 2015-09-23 14:45:41 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 首先,我們目前最知名的和流行的所有隨機波動模型,Heston模型,並提供Heston歐式期權定價公式的詳細推導。
    第二,對於一個模型是在實踐中是有用的,它需要返回的歐式期權當前的市場價格。這意味著,我們需要適合我們模型的參數來配對市場波動度,並解釋如何校準Heston模型市場資料。
    ;First, we present the most well-known and popular of all stochastic volatility models, the Heston model, and provide a detailed derivation of the Heston European option valuation formula.
    Second, for a model to be useful in practice, it needs to return the current market price of European options. That implies that we need to fit the parameters of our model to market implied volatilities and explain how to calibrate the Heston model to market data.
    Appears in Collections:[數學研究所] 博碩士論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML410View/Open


    All items in NCUIR are protected by copyright, with all rights reserved.

    社群 sharing

    ::: Copyright National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback  - 隱私權政策聲明