優化障礙選擇權之一般性靜態避險策略

Abstract

本篇論文目的為在Heston’s stochastic volatility 假設下，建立適當評價障礙選擇權的方法。本篇參考Jason Fink在2003年所提出的靜態複製法以及San-Lin Chung、Pai-Ta Shih和Wei-Che Tsai在2009年提出對DEK靜態複製法的修正方法，更進一步推廣並降低誤差。而後，討論此方法的適用性。

The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility model. We refer to Fink’s static replication method (2003) and the modified DEK static replication approach provided by Chung, Shih and Tsai (2009), and try to modified the method to reduce the error. Then discuss the applicability of this method.