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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/7768

    Title: 不完整市場的亞洲選擇權;Incomplete market Asian options
    Authors: 盧楓旻;Feng-Ming Ru
    Contributors: 數學研究所
    Keywords: 不完整市場;亞洲選擇權;馬可夫過程;Incomplete market;asian option;Markov process
    Date: 2001-07-09
    Issue Date: 2009-09-22 11:04:54 (UTC+8)
    Publisher: 國立中央大學圖書館
    Abstract: 隨機數學近年來常被應用在財務理論上,尤其是選擇權理論。由於亞洲選擇權比起歐式選擇權或美式選擇權更為複雜且應用效果較佳;加上不完整市場模型的討論近來頗受注目,所以我們就將研究目標放在不完整市場的亞洲選擇權上。 在第一節中,我們得到了含有一次跳躍的亞式選擇權的封閉解。在第二節中,我們建立了含有Poisson跳躍的亞式選擇權與二階微分方程的關係;並且我們也得到了含有多重跳躍的亞式選擇權的計價方法。 In section one we obtain a close formula for the Asian option with one jump. In section two, we develope a relation between a second order differential equation and the Asian option with Poisson-jump. At last we also develope a formula of pricing the Asian option with multi-jump.
    Appears in Collections:[數學研究所] 博碩士論文

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