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研究生:邵章榮
研究生(外文):Jerry, Shao chang-jung
論文名稱:重設型選擇權評價
論文名稱(外文):Financial Models for Pricing Reset Options
指導教授:洪茂蔚洪茂蔚引用關係
指導教授(外文):Hon Mou-wei
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:英文
論文頁數:67
中文關鍵詞:重設型選擇權
外文關鍵詞:Reset OptionTrinomial ModelBinomial ModelMonte Carlo Simulation
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本論文主要在提供幾種有效的財務模型做為您評價重設型權證之參考。我們先從最為人所知的Binomial Tree開始,然後再探討較少為人使用的幾何數學模型、Trinomial Tree及Exotic option pricing 常使用的Monte Carlo Simulation,最後則是對各個財務模型做一番比較。
The purpose of this thesis is to provide some useful finanical models for pricing reset options. We will start with the most commonly known binomial model. Then, we will go through some other models that can also be used to price reset options. Lastly, we would compare those financial models and try to find out the differences between those models.
TABLE OF CONTENT
Acknowledgements
Abstract
List of Tables
List of Figures
CHAPTER 1 INTRODUCTION
1.1 Background
1.2 Motivation
1.3 Objective of the Study
CHAPTER 2 RESEARCH FRAMEWORK
2.1 Introduction to Reset Option
2.1.1 Definition of Reset Option
2.1.2 A Review of Different Type of Reset Option
2.2 A Review of Past Approaches
2.1.1 Introduction to Pricing Models of Reset Option
2.1.2 A Review of Different Types of Reset Options
2.1.2A A Partial Look-Back Option
2.1.2B American Bear Market Warrants with A Periodic Reset
(B).1 Closed-form Solution of Bear Market Warrant
(B).2 The Binomial Model
CHAPTER 3 THE BINOMIAL MODEL
3.1 Risk-neutral valuation
3.2 Determination of p, u, and d
3.3 Working Backward through the Binomial Tree
3.4 To Price An American Reset Put Through The Binomial Model
3.5 How to turn the binomial model into computer program
3.6 Some issues need to be taken into account]
CHAPTER 4 GEOMETRIC MATHEMATICS
4.1 Risk-neutral valuation
4.2 An introduction to Geometric Mathematics
4.3 To Price a Reset Option Through Geometric Mathematics
4.3.1 A reset call option
4.3.2 A reset put option
4.4 An Introduction to Barrier Option]
4.4.1 In option
4.4.2 Out option
4.5 Price Barrier Options through Geometric Mathematics
4.6 Determine the best partitions and effective strike/reset price
4.6.1 The Algorithm for finding the best partitions
CHAPTER 5 TRINOMIAL TREE
5.1 Setting the Trinomial Model Parameters
5.2 Pricing Reset Option
CHAPTER 6 MONTE CARLO SIMULATION
6.1 Monte Carlo Simulation
6.2 Take a Further Look Into Monte Carlo Simulation
6.2.1 Generating the Random Samples
6.2.2 Number of Trials
6.3 Variance Reduction - Antithetic Variable Technique
6.4 Price European Reset Option through Monte Carlo Simulation
CHAPTER 7 CONCLUSIONS AND FUTURE RESEARCH
7.1 Convergence Rate for European Reset Option
7.1.1 Comparison of Convergence Rate through Different Models
7.1.2 Best Partition for Binomial Model and Geometric Mathematics Model
7.2 Further insight into the convergence rate of Monte Carlo Simulation
7.3 Pros and Cons of Different Pricing Models
Exhibit 2.1 A Reset Call Option
Exhibit 2.2 Reset Effect of A Reset or Partial Look-Back Call Option
Exhibit 2.3 Payout of A Bear Market Warrant
Exhibit 2.4 Binomial Model For American Bear Market Reset Warrant
Exhibit 3.1 Stock price S movement in time Δt under the binomial model
Exhibit 3.2 Binomial Tree for American Reset Put on non-dividend-paying stock
Exhibit 4.1 Geometric Mathematics
Exhibit 4.2 A Reset Call Option
Exhibit 4.3 A Reset Put Option
Exhibit 4.4 Payout of A Down-and in Call
Exhibit 4.5 Valuation of a Down-and-In Call
Exhibit 4.6 Payout of A Down-and-out Call
Exhibit 4.7 Estimated Values of Down-and-Out Call
Exhibit 4.8 Geometric Mathematics Model
Exhibit 4.9
Exhibit 4.10 Determine the Best Partition
Exhibit 5.1 Backward Induction
Exhibit 7.1 Convergence Rate of Different Models
Exhibit 7.2 Convergence Rate of Binomial Model and Geometric Mathematics Model
Exhibit 7.3
Exhibit 7.4 Convergence Rate of Monte Carlo Simulation
Exhibit 7.5 Convergence Rate of Monte Carlo Simulation
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