障礙選擇權的近似法

Abstract

此篇論文的主旨是在Heston’s stochastic volatility的假設下，建立一個衡量障礙選擇權價值的方式。我們採用Zhuang在2008年所提出的靜態複製法的最佳化過程，並選用了Carr and Chou在1997年所提出利用一般選擇權去複製障礙選擇權的想法來做為本篇論文的基礎。然後我們討論這個方法的適用性並設法減低誤差。

The purpose of our work is to provide a method to evaluate the value of the barrier options under Heston’s assumption. We adopt the optimization scheme for the hedging strategy based on the study of Zhuang(2008) and we use vanilla options to replicate barrier options based on the paper of Carr and Chou(1997b)under the frame of Heston. Wethen discuss the performance of this method and try to reduce the error.