Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface
碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === Heston''s model not only relaxes Black-Scholes''s fixed volatility assumptions, but also reflects empirical situations, such as fat return tails, volatility clustering, etc. Moreover, Heston''s models provid...
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ndltd-TW-107NTU053040192019-11-16T05:28:01Z http://ndltd.ncl.edu.tw/handle/puj4t3 Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface 隨機波動度下以近似履約曲面訂價美式選擇權 Ying-Shiuan Chen 陳映亘 碩士 國立臺灣大學 財務金融學研究所 107 Heston''s model not only relaxes Black-Scholes''s fixed volatility assumptions, but also reflects empirical situations, such as fat return tails, volatility clustering, etc. Moreover, Heston''s models provides closed solution to European option that is easy to calculate. However, calculating American options is much more complicated since it involves calculating the exercise surface. This research extends the pricing method of Chiarella and Ziogas (2005) by approximating exercise surfaces with numerical integration, which significantly improves pricing efficiency. 呂育道 2019 學位論文 ; thesis 27 zh-TW |
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碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === Heston''s model not only relaxes Black-Scholes''s fixed volatility assumptions, but also reflects empirical situations, such as fat return tails, volatility clustering, etc. Moreover, Heston''s models provides closed solution to European option that is easy to calculate. However, calculating American options is much more complicated since it involves calculating the exercise surface. This research extends the pricing method of Chiarella and Ziogas (2005) by approximating exercise surfaces with numerical integration, which significantly improves pricing efficiency.
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呂育道 |
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呂育道 Ying-Shiuan Chen 陳映亘 |
author |
Ying-Shiuan Chen 陳映亘 |
spellingShingle |
Ying-Shiuan Chen 陳映亘 Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface |
author_sort |
Ying-Shiuan Chen |
title |
Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface |
title_short |
Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface |
title_full |
Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface |
title_fullStr |
Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface |
title_full_unstemmed |
Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface |
title_sort |
pricing american options under stochastic volatility using approximate exercise surface |
publishDate |
2019 |
url |
http://ndltd.ncl.edu.tw/handle/puj4t3 |
work_keys_str_mv |
AT yingshiuanchen pricingamericanoptionsunderstochasticvolatilityusingapproximateexercisesurface AT chényìnggèn pricingamericanoptionsunderstochasticvolatilityusingapproximateexercisesurface AT yingshiuanchen suíjībōdòngdùxiàyǐjìnshìlǚyuēqūmiàndìngjiàměishìxuǎnzéquán AT chényìnggèn suíjībōdòngdùxiàyǐjìnshìlǚyuēqūmiàndìngjiàměishìxuǎnzéquán |
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