| 研究生: |
林美婷 Lin, Mei-Ting |
|---|---|
| 論文名稱: |
與股價連結的結構債之價值與風險 The Value and Risk of a Stock Price-linked Structured Notes |
| 指導教授: |
沈士育
Shen, Shih-Yu |
| 學位類別: |
碩士 Master |
| 系所名稱: |
理學院 - 數學系應用數學碩博士班 Department of Mathematics |
| 論文出版年: | 2011 |
| 畢業學年度: | 100 |
| 語文別: | 中文 |
| 論文頁數: | 40 |
| 中文關鍵詞: | 結構債 、障礙選擇權 、邊界積分法 、熱傳導方程式 |
| 外文關鍵詞: | structured notes, barrier option, boundary integral method, heat equation |
| 相關次數: | 點閱:102 下載:5 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本文利用邊界積分法解一連續式單邊界的結構債定價問題,首先介紹結構債、選擇權以及障礙選擇權,接著以Black-Scholes Model為數學模型,將其轉換成熱傳導方程式的邊界值問題,再利用邊界積分法解此邊界值問題,並解得結構債價格、波動率以及碰觸上限價格的機率。
本文數值計算部份使用Visual C++程式語言計算,再利用數學軟體Matlab繪製圖形。
In study, a boundary integral method is designed to deal with single touch barrier structured notes. First the pricing of structured notes﹑option and barrier option are introduced. The black-scholes model is converted to a heat equation boundary value problem. Then use a boundary integral method to deal with the boundary value problem and solve the price of structured notes﹑volatility and probability of touch barrier.
In study, the method is implemented with Visual C++ and Matlab.
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