數值分析對亞式選擇權評價之研究 – 以LME銅選擇權為例

Abstract

本篇論文主要是以倫敦金屬交易所(London Matel Exchange, 簡稱LME)銅期貨選擇權交易為研究資料。該合約是採用使用亞式選擇權報價，亞式選擇權在評價上不僅會受到到期日或履約日資產價格影響，同時會受到到期前或履約前資產價格路徑的影響，使評價的困難度大幅提高，因此使用數值分析法中的樹狀模型法與蒙地卡羅模擬法推導資產價格路徑，並套用至亞式評價模型中，得到資產的理論價。最後，透過理論價與實際交易成交價，決定交易的投資策略與績效的驗證。

This thesis is based on the London Metal Exchange copper futures options trading data for the study. The contract is the use of Asian options using quotes, Asian options, not only in the evaluation will be performing at maturity or asset price impact, but will be prior to maturity or performance before the impact of asset price path, the difficulties of the evaluation a substantial increase, so numerical analysis method using the tree model method and a Monte Carlo simulation method is derived asset price path and apply to Asian-style evaluation model, the theoretical value obtained assets. Finally, through the theoretical price and the actual transaction price, decide to trade investment strategy and performance verification.