標題: 絕對漲跌幅限制市場的選擇權評價
Pricing Options in the Absolute Daily Price Limit Markets
作者: 余南宏
Yu, Nan-Hong
郭家豪
Guo, Jia-Hau
財務金融研究所
關鍵字: 絕對漲跌幅限制;蒙地卡羅模擬法;解析解;Absolute Price Limits;Monte-Carlo Simulation;Closed-form Formula
公開日期: 2012
摘要: 在漲跌幅限制不存在時,Black-Scholes模型提出了一個合適的市場評價公式。在現實中,許多國家利用漲跌幅機制來穩定價格的波動。一般來說,我們會使用蒙地卡羅法來模擬出選擇權價格,但耗時卻是一個無法避免的代價。這也就是為什麼後來的研究都想找出一個解析解來評價選擇權,在準確度差距不大下,所需時間卻可大幅降低。本篇文章提出一個近似解析解,用來評價受到絕對漲跌幅限制的選擇權。根據模擬結果顯示,相對於解析解,Black-Scholes模型由於忽略了漲跌幅限制的條件,存在著過度評價的問題,容易失真。
The Black-Scholes formula describes a closed-form solution in the non-price-limit market. In reality, many countries use such price-limit mechanisms to stabilize prices. However, if we want to find out the price of options, we take into account the Monte-Carlo simulation method. But this option is time-consuming and further illustrates the importance of closed-form solutions. Therefore, this paper proposes a closed-form solution for pricing options in the absolute daily price-limit market. Based on the numerical results, the Black-Scholes formula has the problem of being overvalued until the price limit is relaxed.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT070053907
http://hdl.handle.net/11536/72048
顯示於類別:畢業論文