二維觸價選擇權之評價

Abstract

價值取決於兩個資產的選擇權可被5-jump模型評價。然而，在不同資產上分別有觸價條件時，此模型產生的價格變動幅度過大。本篇論文建立一個更有彈性的9-jump模型，能同時準確地到達兩個觸價條件。並且此模型的收斂行為平順許多。

Option whose value depends on two assets can be priced by a 5-jump model. However, when dealing with more than one barrier on different underlying assets, this model generates prices that oscillate too much. This thesis establishes a more flexible 9-jump model that can hit both barriers exactly. This model results in a much smoother convergence behavior.