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    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86088

    Title: 流動性風險下之選擇權評價
    Authors: 蔡宜穎
    Description: GH02101071505
    Date: 2014
    Keywords: 流動性風險;選擇權評價;Heston 模型;偏微分方程;有限差分法
    liquidity risk;option pricing;Heston model;PDE;finite difference method;Krakovsky
    Abstract: The purpose in the thesis mainly discuss option pricing model with liquidity, which can be shown in the stock price and the stock's volatility. From the liquidity which affect the underlying's volatility, we firstly define the underlying's liquidity by change of underlying's volatility and derive the PDE through add liquidity into stochastic volatility process. From the liquidity which affect the underlying's price, the model has been proposed before. Thus, we combine two model to get a generalized PDE. The three aspects can explain this PDE, including loop between liquidity part and stock price, power between liquidity part and the liquidity fact, and the term which is affected by liquidity. Finally, we use the explicit finite difference to do numerical result.
    URI: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86088
    Source: http://thesis.nthu.edu.tw/cgi-bin/gs/hugsweb.cgi?o=dnthucdr&i=sGH02101071505.id
    Appears in Collections:[計量財務金融學系] 博碩士論文

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