Domain decomposition을 적용시킨 수치방법에 의한 금융파생상품 가치평가

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dc.description학위논문(석사)--아주대학교 일반대학원 :금융공학과,2014. 2-
dc.description.tableofcontentsAbstract Contents 1.Introduction 1 2. Barrier Option and Equity Linked Securities(ELS) 3 2.1 Description of Barrier Option and ELS 3 2.2 Mathematical Models of the Products 6 3. Finite Difference Method with DDM for Barrier Option 8 3.1 The Implicit and Crank-Nicolson Methods 8 3.2 The Conventional FDM Algorithm for 1-D Double Barrier Option 12 3.3 The Conventional FDM Algorithm for 1-D and 2-D ELS 13 3.4 The FDM with Domain Decomposition Method(DDM) Algorithm 14 4. Numerical Results 19 4.1 1-D Double Barrier Option Price and Greeks 19 4.2 Other derivatives 24 5. Conclusion 29 References 30-
dc.publisherThe Graduate School, Ajou University-
dc.rights아주대학교 논문은 저작권에 의해 보호받습니다.-
dc.titleDomain decomposition을 적용시킨 수치방법에 의한 금융파생상품 가치평가-
dc.contributor.affiliation아주대학교 일반대학원-
dc.contributor.department일반대학원 금융공학과- 2-
dc.description.alternativeAbstractWe develop a finite difference scheme for pricing barrier options, which has the second order accuracy in time. The barrier structure of the option is one of the most common feature in financial derivatives, and it is appeared as knock-in, knock-out or early redemption conditions. It is well known that the conventional Crank-Nicolson scheme could produce worse result than the implicit scheme for pricing the barrier option due to the numerical jump on the barrier levels. We consider the barrier level as an interface of decomposed domains, so that we could impose the Poincare-Steklov operator on the barrier level. The advantage of our scheme is that we do not solve the partial differential equations on the barrier level and the Crank-Nicolson type time discretization could be blended. We tested our algorithm to several benchmark problems including real world problems such as the equity linked securities(ELS).-
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Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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