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

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.