Title: 運用模擬法於異型選擇權評價之研究--以算術平均選擇權為例
Applying Simulation Methodology in the Exotic Option Pricing -- an Example of Arithmetic Average Option
Authors: 洪良 吉
Hong, Liang-Ji
陳 安 斌
An-Pin Chen
資訊管理研究所
Keywords: 選擇權;異型選擇權;算術平均選擇權;評價模式;敏感性參數;模擬;option;exotic option;arithmetic average option;pricing model;sensibility parameter;simulation
Issue Date: 1996
Abstract: 在自由開放的金融市場中﹐選擇權是管理風險的理想工具。而異型選擇權
是選擇權的第二代。相對於第一代﹐它的特點是可以依據個別投資者的風
險需求而設計﹐因而更能有效地延伸選擇權所涵蓋的風險管理範圍。但由
於異型選擇權的內容變化多端﹐使得評價模式相當的複雜﹐甚至沒有封閉
式的數學評價公式。因此﹐在數學無解之下﹐可以解決評價模式的方法就
是模擬法。故本研究將強調如何以模擬法來對異型選擇權評價模式做研究
。期望此項研究能對異型選擇權的評價過程建立一模擬分析程序。而本研
究將以沒有封閉評價公式之算術平均選擇權為實例做模擬評價﹐同時並運
用此法模擬分析其敏感性參數的特性。最後﹐本研究將探討運用模擬法於
算術平均選擇權評價上所產生的問題。
In the open financial market﹐options are ideal tools to manage
risks. The exotic option is the second generation of options.
Compared to options﹐their major feature is that they can be
designed by individual investor's risk demand. So they can
efficientlyextend the range of risk management of options.
Because exotic options are various in the contracts, their
pricing model is very complicated even no closed form
mathematical solution. Therefore﹐when no closed form solution
can be derived from mathematics , one solution of the pricing
model is the simulation method.So this study will emphasize on
how the simulation method uses in the research of the exotic
option pricing model. The expectation of this study is to
construct a simulation analytic procedure of the exotic option
pricing. This study takes the arithmetic average option for
example which has no closed form solution in pricing and applies
the same method to simulate and analyze its characteristics of
sensibility parameters. At last, this study will discuss the
problems which was brought from the exotic option pricing
procedure when applying the simulation method.
URI: http://140.113.39.130/cdrfb3/record/nctu/#NT850396020
http://hdl.handle.net/11536/61851
Appears in Collections:Thesis