臺灣博碩士論文加值系統

We value moving-average reset warrant under liquidity costs by using simulation approach. Some numerical analyses concerning the changes on the reset period; reset frequencies; reset ratio; and number of days in the moving average, which affect the values of warrants and reset probabilities, will be explored. We also set up a liquidity cost model which can determine the optimal reset ratio and thus minimize the liquidity cost of warrant. Finally, the delta jump inherent in the reset warrant was discussed in this study.

1.Introduction…………………………………………………………………….……1
2. Literature Review
2.1 The Monte Carlo Simulation and its applications…………………………2
2.2 The impact of liquidity on option pricing…………………………………4
3. Pricing Moving-Average Reset Warrants
3.1 Standard Monte Carlo simulation………………………………………………6
3.2 Moving-Average Reset Call Warrants………………………………………….8
3.3 Moving-Average Reset Put Warrants……………………………………………9
3.4 Least Square Monte-Carlo simulation…………………………………….…11
4. Numerical analysis
4.1 Different reset period and reset ratio……………………………………13
4.2 Stock price volatilities and moving-average…………………………….14
4.3 Reset frequencies effect………………………………………………………15
4.4 Risk characteristic…………………………………………………………….15
5.Liquidity Cost and Optimal Reset Ratio
5.1 The Data……………………………………………………………………………16
5.2 The Results……………………………………………………………………….17
6.Conclusion…………………………………………………………………………..18
Appendix A………………………………………………………………………………20
References………………………………………………………...………………...23

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