In this thesis, we propose Fast Fourier Transform (FFT) method to compute VaR. Once we know the characteristic function of natural logarithm of the underlying asset price, we are able to compute VaR by FFT method. This is very powerful because the characteristic function can be computed easily in a lot of models. Using FFT method to compute VaR can efficiently reduce the computational time without losing the accuracy. In order to check the accuracy, we would like to analyze the bound of error between the true value and the numerical computation.
為了持續優化網站功能與使用者體驗,本網站將Cookies分析技術用於網站營運、分析和個人化服務之目的。
若您繼續瀏覽本網站,即表示您同意本網站使用Cookies。