臺灣博碩士論文加值系統

價值取決於兩個資產的選擇權可被5-jump模型評價。然而，在不同資產上分別有觸價條件時，此模型產生的價格變動幅度過大。本篇論文建立一個更有彈性的9-jump模型，能同時準確地到達兩個觸價條件。並且此模型的收斂行為平順許多。

Option whose value depends on two assets can be priced by a 5-jump model. However, when dealing with more than one barrier on different underlying assets, this model generates prices that oscillate too much. This thesis establishes a more flexible 9-jump model that can hit both barriers exactly. This model results in a much smoother convergence behavior.

1 Introduction ... 1
1.1 Introduction ... 1
1.2 Organization of This Thesis ... 2
2 Background ... 3
2.1 A 5-Jump Model ... 3
3 A 9-Jump Model ... 5
4 Numerical Results ... 9
4.1 Evaluation of Spread Options ... 9
4.2 Evaluation of European Dual-strike Options with One Barrier ... 10
4.3 Evaluation of European Dual-strike Options with Two Barriers ... 11
5 Conclusions ... 12
Bibliography ... 13

[1] BARDIA KAMRAD AND PETER RITCHKEN. “Multinomial Approximating Models for Options with k State Variables.” Management Science, 37, No. 12 (December 1991), 1640–1652.

[2] YUH-DAUH LYUU, Financial Engineering and Computation. Cambridge University, UK, 2002.

[3] PETER RITCHKEN. “On Pricing Barrier Options.” Journal of Derivatives, 3, No.2 (Winter 1995), 19–28.

[4] MARK RUBINSTEIN. “Implied Binomial Tree.” Journal of Finance, 49, No.3 (July 1994), 771–818.