(3.235.245.219) 您好!臺灣時間:2021/05/07 22:10
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:楊善棆
研究生(外文):Shan Lun Yang
論文名稱:離散價格對亞式選擇權訂價之影響
論文名稱(外文):The Pricing of Asian Options - The Effect of Price Discreteness
指導教授:棗厥庸棗厥庸引用關係
指導教授(外文):C.Y. Tsao
學位類別:碩士
校院名稱:長庚大學
系所名稱:企業管理研究所
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:2008
畢業學年度:96
論文頁數:66
中文關鍵詞:亞式選擇權敏感度分析離散型亞式選擇權
外文關鍵詞:Asian optionssensitivity analysisdiscrete Asian options
相關次數:
  • 被引用被引用:0
  • 點閱點閱:199
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
一般來說,對選擇權之買權而言,較低的波動度通常就會有較低的選擇權價格。對於亞式選擇權,人們可以預期當其標的資產價格被平均的次數(N)越多時,其暴露於風險的機率就越低,也就是對未來標的資產價格變動的不確定程度應該會越小,造成選擇權價格應該會隨平均次數上升而下降。然而,由過去的研究與文獻中卻發現,在其他條件不變下,亞式選擇權的價格卻有可能隨平均次數的增加而遞增。本篇論文經由敏感度分析探討在風險中立測度下,探討幾何平均與算數平均的亞式選擇權在時間 與 時,選擇權價格變動之方向與原因,透過這些分析程序,瞭解平均次數變動與時間點間之關係。
Generally speaking, when the underlying price process has the lower volatility, its call option would have the cheaper price. We could expect that when an Asian option with large N(the average times) to be cheaper than an otherwise identical Asian option because there is the relatively lower proportion of the exposure to an Asian option with large N. Thus, an Asian option price should become much cheaper when N becomes lager. However, based on the past researches, we found in some special cases, ceteris paribus, an Asian option might become much expansive while N is lager. This paper discusses the variation of geometric average and arithmetic average Asian option price while time t is before the start time (t<t0) or after the start time (t>t0) by using sensitivity analysis. Through these analysis processes, we can understand the relationship between the average times and the t time.
目 錄
指導教授推薦書………………………………………………………..
口試委員會審定書……………………………………………………..
長庚大學授權書………………………………………………………...iii
致謝……………………………………………………………………...iv
中文摘要…………………………………………………………..……..v
英文摘要………………………………………………………………...vi
目錄……………………………………………………………………..vii
圖目錄…………………………………………………………………...ix
第一章 緒論
第一節 研究背景………………………………………………1
第二節 亞式選擇權……………………………………………1
第三節 研究動機與目的………………………………………4
第四節 研究架構………………………………………………7
第二章 文獻探討
第一節 亞式選擇權分類…………………………………..….8
第二節 亞式選擇權之文獻………………………..…….10
第三節 評價亞式選擇權的方法………………………..……13
第三章 研究方法
第一節 模型假設………………………………………….…19
第二節 幾何平均亞式選擇權之訂價…..…..…………….…20
第三節 Black and Scholes(1973)訂價公式分析……………24
第四章 結果與分析
第一節 幾何平均亞式選擇權……………….………………...27
標的資產尚未開始計算價格………..………...……27
標的資產已開始計算價格…………..……….…..…30
第二節 算數平均亞式選擇權……………….………………...36
標的資產尚未開始計算價格………..…...…...………36
標的資產已開始計算價格……….….……………..…40
第五章 結論………………………………………………..…………45
參考文獻………………………………………….……………………47
附錄……………………………………….……………………………50








圖目錄
圖1-1 幾何平均亞式選擇權蒙地卡羅模擬……………………..5
圖1-2 幾何平均亞式選擇權蒙地卡羅模擬……………………..6
圖4-1 幾何平均亞式選擇權公式解……………………………27
圖4-2 幾何平均亞式選擇權公式解……………………………31
1. Alziary, B.; J. Decamps; and P. Koehl. "A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence." Journal of Banking and Finance, 21, (1997), 613-640.
2. Benhamou, E., Duguet, A.: Small dimension PDE for discrete Asian options. Journal of Economic Dynamics & Control, 27, (2003), 2095–2114.
3. Black, F. and M. Scholes: The valuation of option contracts and a test of market efficiency. The Journal of Finance, 27, (1972) 399-418.
4. Black, F., Scholes, M.: The pricing of options and corporate liabilities. Journal of Political Economy, 81, (1973), 637–659.
5. Blomeyer, E. C.:An analytic approximation for the American put price for options on stocks with dividends. Journal of Financial and Quantitative Analysis, 21, (1986), 229-233.
6. Bouaziz, L., Briys, E., Crouhy, M.: The pricing of forward-starting Asian options. Journal of Banking and Finance, 18, (1994), 823–839.
7. Carverhill, A., and L. Clewlow. "Flexible Convolution." RISK, 5, (April 1990), 25-29.
8. Cox, J. C., J. E. Ingersoll and S. A. Ross: An intertemporal general equilibrium model of asset prices, Econometrica 53, (1985), 363-384.
9. Cox,J.,S. Ross,and M. Rubinstein:Option Pricing: A Simplified Approach. Journal of Financial Economics, Vol.7, (1979), 229-264.
10. Dewynne, J., and P. Wilmott.: Asian Options as Linear Complementarity Problems. Advances in Futures and Options Research, 8 (1995), 145-173.
11. Geman, H. and M. Yor :Bessel Processes, Asian Options, and Perpetuities. Mathematical Finance, 3:4(1993),348-373
12. Levy, E.: Pricing European average rate currency options. Journal of Banking and Finance, 11 (1992), 474–491
13. Longstaff, F.A.: Hedging Interest Rate Risk with Options on Average Interest Rates. The Journal of Fixed Income , March. (1995)
14. Kemma, A., Vorst, A.: A pricing method for options based on average asset prices. Journal of Banking and Finance, 2, (1990), 52–66.
15. Merton, R.: Option pricing when underlying stock returns are discontinuous. Journal of financial Economics, 3, (1976),125–144.
16. Milevsky, M. A., Posner, S. E: Asian options, the sum of lognormals and the reciprocal gamma distribution. Journal of Financial and Quantitative Analysis, 33, (1998), 409–422.
17. Neave E. H. and S. M. Turnbull: Quick Solution for Arithmetic Average Options on a Recombining Random Walk. Fourth AFIR International Colloquium. (1994)
18. Rogers L. and Shi Z. S.: The Value of an Asian Option. Journal of Financial Economics, 32(9), (1995),1077–1088.
19. Tsao, C.-Y., Chang, C.-C., Lin, C.-G.: Analytic approximation formulae for pricing forward-starting Asian options. Journal of Futures Markets, 23, 5 (2003), May, 487–516
20. Tsao, C.Y., Huang, C.T.: Efficient Solutions for discrete Asian Options. Soft Computing, Vol.11 No.12 Oct (2007), 1131-1140
21. Vorst, T. "Prices and Hedge Ratios of Average Exchange Rate Options." International Review of Financial Analysis, 13, (1992), 179-193.
22. Turnbull, S., Wakeman, L.: A quick algorithm for pricing European average options. Journal of Financial and Quantitative Analysis, 26 (1991), 377–389.
23. Zhang P.G.: Flexible Arithmetic Asian Options, Journal of Derivatives, 2, (1995), 53–63.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔