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 |