博碩士論文 992205014 完整後設資料紀錄

DC 欄位	值	語言
DC.contributor	統計研究所	zh_TW
DC.creator	陳醇潔	zh_TW
DC.creator	Chun-chieh Chen	en_US
dc.date.accessioned	2012-6-27T07:39:07Z
dc.date.available	2012-6-27T07:39:07Z
dc.date.issued	2012
dc.identifier.uri	http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=992205014
dc.contributor.department	統計研究所	zh_TW
DC.description	國立中央大學	zh_TW
DC.description	National Central University	en_US
dc.description.abstract	隨著金融商品迅速發展，在學術界和業界中，如何正確且有效率的對選擇權做定價依然是一個重要的問題。奇異選擇權或複雜的選擇權通常沒有封閉解，就算在布萊克-肖爾斯假設下也是如此，因此需要使用數值方法。蒙地卡羅近似是一個簡單且合適的方法，但蒙地卡羅估計量通常會有較大的變異數。為了解決這個問題，我們提出了一個重點抽樣的方法，可以找到一個指數平移測度來極小化蒙地卡羅估計量的變異數。我們應用此方法在幾個選擇權上做定價和計算希臘字母。	zh_TW
dc.description.abstract	Along with the rapid development of financial instruments, pricing options correctly and efficiently remains a critical issue both in industry and in academy. However, closedform formulas for exotic or complicated options price rarely exist even under the standard Black-Scholes assumptions, and consequently additional numerical techniques are required. Among them, Monte Carlo approaches are invaluable tools and are easy to implement, but Monte Carlo estimators usually suffer from large variances. To tackle this problem, we propose an importance sampling procedure with an exponentially tilted measure to minimize the variance of Monte Carlo estimators. We apply our method to calculate both the price and the Greek letters for several popular options, such as spread and maximum options.	en_US
DC.subject	彩虹選擇權	zh_TW
DC.subject	選擇權定價	zh_TW
DC.subject	蒙地卡羅	zh_TW
DC.subject	重點抽樣	zh_TW
DC.subject	變異數縮減	zh_TW
DC.subject	rainbow option	en_US
DC.subject	variance reduction	en_US
DC.subject	importance sampling	en_US
DC.subject	Monte Carlo	en_US
DC.subject	option pricing	en_US
DC.title	利用重點抽樣的有效率選擇權訂價	zh_TW
dc.language.iso	zh-TW	zh-TW
DC.title	Efficient option pricing with importance sampling	en_US
DC.type	博碩士論文	zh_TW
DC.type	thesis	en_US
DC.publisher	National Central University	en_US