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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Bibliographic Details
Main Authors:	Ying-Shiuan Chen, 陳映亘
Other Authors:	呂育道
Format:	Others
Language:	zh-TW
Published:	2019
Online Access:	http://ndltd.ncl.edu.tw/handle/puj4t3

id	ndltd-TW-107NTU05304019
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spelling	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
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	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.
author2	呂育道
author_facet	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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Pricing American Options under Stochastic Volatility Using Approximate Exercise Surface

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