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dc.contributor.author尤頌文en_US
dc.contributor.authorSung-Wen Yuen_US
dc.contributor.author許元春en_US
dc.contributor.author王克陸en_US
dc.contributor.authorYuan-Chung Sheuen_US
dc.contributor.authorKeh-Leh Wangen_US
dc.date.accessioned2014-12-12T03:06:39Z-
dc.date.available2014-12-12T03:06:39Z-
dc.date.issued2006en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT009422512en_US
dc.identifier.urihttp://hdl.handle.net/11536/81298-
dc.description.abstract在本篇文章中,我們提出了使用快速傅立葉演算法來加速蒙地卡羅評價選擇權的方法。我們以快速傅立葉演算法計算選擇權的Delta值,並且利用這些Delta值去建立馬丁格爾控制變異數項來降低估計值的變異數。我們發現結合快速傅立葉演算法與馬丁格爾控制變異數方法在增加運算效率方面是非常有用的,並且也保留了運算的正確性。同時我們也討論了利用快速傅立葉演算法的誤差分析。zh_TW
dc.description.abstractIn this paper, we proposed the use of Fast Fourier transform (FFT) method to accelerate Monte Carlo simulations in option pricing. The method of FFT is applied to compute the Deltas of the options. These Deltas are essential in construct martingale control for variance reduction. We find that the combination of the FFT method with the martingale control variate method is very useful to reduce the computational time while preserving the accuracy of simulations. The error analysis of using FFT method is also discussed.en_US
dc.language.isoen_USen_US
dc.subject快速傅立葉轉換zh_TW
dc.subject蒙地卡羅zh_TW
dc.subject馬丁格爾zh_TW
dc.subject變異數zh_TW
dc.subject分析zh_TW
dc.subjectFFTen_US
dc.subjectDeltaen_US
dc.subjectMartingaleen_US
dc.subjectMonte Carlo Simulationsen_US
dc.subjectAnalysisen_US
dc.title利用快速傅立葉轉換增加蒙地卡羅評價衍生性金融商品的效率zh_TW
dc.titleEfficient Valuation of Financial Derivatives by Monte Carlo Simulations with Fast Fourier Transformen_US
dc.typeThesisen_US
dc.contributor.department應用數學系所zh_TW
Appears in Collections:Thesis


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