標的資產具高階動差分配之美式亞洲選擇權之評價

Abstract

型。使用對數常態分配做為比較基準，本研究之模型將與Chalasani et al.及Hull and White 之計算結果相比較。尤其是如果標的物之分配具有負向偏態或厚尾時，我們將使 用數值分析方法做檢驗，是否本研究之模型可以較快而精確的評價標的物具高階動差 的美式亞洲選擇權。

We propose a modified binomial model with higher moment consideration for pricing American Asian options. Using lognormal underlying distribution for benchmark, we will check whether our model is as precise as that of Chalasani et al. Furthermore, if the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, we will compare our results with that of Chalasani et al. and Hull and White. The numerical analysis will be used to test whether our model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.