在Heston’s Stochastic Volatility假設下，障礙選擇權的靜態避險策略

Abstract

本篇論文目的為在Heston’s stochastic volatility 假設下，建立一個有效衡量障礙選擇權價值之方式。本篇的基礎使用Carr and Chou(1997)所提出之利用一般選擇權去複製障礙選擇權之想法，且採用Zhuang(2008)所提之靜態複製法下的最佳化過程，並降低誤差。而後，討論此方法的適用性。

The purpose of this thesis is to construct an effective method to evaluate the value of barrier options under Heston’s stochastic volatility assumption. The basis of our paper is to use vanilla options to reproduce of a down-and-out call based on the paper of Carr and Chou (1997b), and we take the optimization process for the static hedging strategy based on the paper of Zhuang (2008), and reducing the error. Then, we discuss the performance of the method we use.