(18.210.12.229) 您好!臺灣時間:2021/03/03 17:23
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:詹益齊
研究生(外文):Yi-Chi Chan
論文名稱:使用二元樹評價亞式一籃子選擇權
論文名稱(外文):Asian Basket Option Pricing by a Simple Binomial Tree
指導教授:呂育道呂育道引用關係
口試委員:戴天時張經略王釧茹
口試日期:2014-06-23
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:資訊工程學研究所
學門:工程學門
學類:電資工程學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:英文
論文頁數:30
中文關鍵詞:亞式一籃子選擇權平移對數常態分佈動差擬合封閉解Hull-White法
外文關鍵詞:Asian basket optionshifted lognormal distributionmoment matchingclosed-form solutionHull-White methodology
相關次數:
  • 被引用被引用:0
  • 點閱點閱:138
  • 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
亞式一籃子選擇權同時具備亞式選擇權跟一籃子選擇權的特性,故難以找到選擇權價格的封閉解。在這篇論文中,我們使用平移對數常態分配 (shifted lognormal)以及負平移對數常態分配(negative shifted lognormal)搭配動差擬合(moment matching)找出三個參數(shape, scale and shift)來近似一籃子資產的價格。之後,我們利用這三個參數觀察到的性質建構一個可以近似一籃子資產價值的二元樹。最後搭配Hull-White methodology找出美式跟歐式的亞式一籃子選擇權的價格。數值實驗的結果顯示我們的方法所找出來的歐式選擇權價格與蒙地卡羅方法找出來的價格十分接近,但是美式選擇權價格與最小平方蒙地卡羅法找出來的價格相比,我們的方法明顯地高估。

Asian basket option is hard to price. This thesis presents a new approach to price European-style and American-style Asian basket options. First, we use approximation and moment-matching techniques to find the random variable following the shifted lognormal distribution to approximate the basket value. Second, we use the random variable to build a binomial tree and combine it with the Hull-White methodology for pricing path-dependent options to price Asian basket options. Finally, we compare our numerical results with Monte Carlo simulation for European-style Asian basket options and with the least-squares Monte Carlo for American-style ones. They show that the European-style Asian basket option prices obtained by our approach are accurate and the American-style ones are overpriced by our approach.

口試委員會審定書 2
謝辭 3
摘要 4
Abstract 5
Introduction 7
1. The Model 10
1.1 Generalized lognormal approach 10
1.2 Finding parameters in GLN and binomial tree 11
1.3 Building binomial tree 16
2. The Hull-White Methodology 18
2.1 Finding the running averages 18
2.2 Backward induction 19
3. Experiment results 21
4. Conclusion 28
5. References 29

[1]Beisser, J. (1999) “Another Way to Value Basket Options.” Working Paper, Johannes Gutenberg-Universitat Mainz.
[2]Borovkova, S.A., Permana, F.J. (2007). “Asian Basket Options and Implied Correlations in Energy Markets.” In Proceedings of the 4th IASTED International Conference on Financial Engineering and Applications, California: Anaheim, pp. 85–91.
[3]Borovkova, S.A., Permana, F.J., and Van Der Weide, J.A.M. (2012). “American Basket and Spread Option Pricing by a Simple Binomial Tree.” Journal of Derivatives, Vol. 19, No. 4 (Summer 2012), 29–38.
[4]Borovkova, S.A., Permana, F.J., Weide, H.V.D. (2007). “A Closed Form Approach To The Valuation and Hedging of Basket and Spread Option.” Journal of Derivatives, Vol. 14, No. 4 (Summer 2007), 8–24.
[5]Chang, J.J., Chen, S.N., and Wu, T.P. (2012). “A Note To Enhance the BPW Model for the Pricing of Basket and Spread Options.” Journal of Derivatives, Vol. 19, No. 3 (Spring 2012), 77–82.
[6]Fan, Y.C., Lyuu, Y.D. (2009). “The Closed-Form Approach to the Valuation and Greeks of Discrete Asian Options.” Master’s thesis, Graduate Institute of Finance, National Taiwan University, Taipei, Taiwan.
[7]Hull, J., White, A. (1993). “Efficient Procedures for Valuing European and American Path-Dependent Options.” Journal of Derivatives, Vol. 1, No. 1 (Fall 1993), 21–31.
[8]Ju, E. (1992) “Pricing Asian and basket Options via Taylor Expansion.” Journal of Computational Finance, Vol. 5, No. 3 (2002), 79–103.
[9]Klassen, T.R. (2001). “Simple, Fast and Flexible Pricing of Asian Options.” Journal of Computational Finance, Vol. 4, No. 3 (Spring 2001), 89–124.
[10]Krekel, M., Kock, J.D., Korn, R., Man, T.K. (2006). “An Analysis of Pricing Methods for Baskets Options.” In The Best of Wilmott 2, pp. 181–188. England: Wiley.
[11]Levy, E. (1992) “Pricing European Average Rate Currency Options.” Journal of International Money and Finance, Vol. 11, 474–491.
[12]Longstaff F. A., Schwartz E. S. (2001). “Valuing American Options by Simulation: A Simple Least-squares Approach.” Review of Financial Studies, Vol. 14, 113–147.
[13]Lyuu, Y.D. (2002), Financial Engineering and Computation. Cambridge: Cambridge University Press.
[14]Milevsky, M.A., S. E. Posner (1998) “Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution.” Journal of Financial and Quantitative Analysis, Vol. 33, No. 3, 409–422.


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