Title page for etd-0707105-182950


[Back to Results | New Search]

URN etd-0707105-182950
Author Te-hung Cheng
Author's Email Address m9124623@student.nsysu.edu.tw
Statistics This thesis had been viewed 5071 times. Download 3903 times.
Department Applied Mathematics
Year 2004
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Option Pricing and Virtual Asset Model System
Date of Defense 2005-05-19
Page Count 71
Keyword
  • jump diffusion model
  • geometric Brownian motion
  • GARCH model
  • binomial model
  • quadratic approximation method
  • finite difference method
  • Black-Scholes model
  • Abstract In the literature, many methods are proposed to value American options. However, due to computational difficulty, there are only approximate solution or numerical method to evaluate American options. It is not easy for general investors either to understand nor to apply.
     In this thesis, we build up an option pricing and virtual asset model system, which provides a friendly environment for general public to calculate early exercise boundary of an American option. This system modularize the well-handled pricing models to provide the investors an easy way to value American options without learning difficult financial theories. The system consists two parts: the first one is an option pricing system, the other one is an asset model simulation system. The option pricing system provides various option pricing methods to the users; the virtual asset model system generates virtual asset prices for different underlying models.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0707105-182950.pdf
  • indicate accessible in a year
    Date of Submission 2005-07-07

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys