在JDCEV模型下以靜態避險法及 Richardson外插法評價歐式障礙選擇權

Abstract

在可能發生突發狀況使得公司破產倒閉的Jump to Default CEV模型下，利用靜態複製法及Richardson外插法對歐式障礙選擇權定價，並藉由蒙地卡羅模擬驗證及比較此方法的準確性及效率後，發現此方法可以增進定價的效率。當切割期數少時，Richardson外插法特別顯著。

We use the static hedging method and Richardson extrapolation technique to price European-style barrier options under Carr and Linetsky (2006) JDCEV model, which considers the possibility of bankruptcy. We further verify the accuracy and efficiency of our proposed framework by Monde Carlo simulation and find that our proposed framework can increase efficiency of pricing option.The effect of Richardson extrapolation is especially significant when the frequency of partition is small.