結合賽局與二項樹評價賽局選擇權

Abstract

本篇論文提出一種結合賽局與二項樹的模型，用來對報酬受交易雙方行為影響的金融衍生性商品作訂價。我們將Harsanyi(1995)中提出的選取均衡解之概念應用到模型中的賽局。我們使用論文中提到的結還賽局與二項樹之方法對賽局選擇權作評價，而賽局選擇權是由Kifer(2000)提出。所謂的賽局選擇權，不僅提供買方可在到期日之前隨時執行選擇權，同時也提供賣方同樣的權利。因此，賽局選擇權的報酬受到買賣雙方在過程中的交互行為影響。最後，我們得到了和Kifer(2000)同樣的結果。

Our paper develops a new methodology that combines the binomial tree and games to deal with financial derivatives where the interactions between the holder and the writer are essentially important. We apply the concepts of equilibrium selection proposed by Harsanyi (1995) to find a unique equilibrium in game. We apply our framework to value the game option which is first introduced by Kifer (2000). The game options enable holders and writers to stop the contract at any time before the maturity. Therefore, the price of the game options is surely affected by the interactions between holders and writers. We obtain some results which are consistent with those by Kifer (2000).