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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25806完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道 | |
| dc.contributor.author | Hsuan Yu | en |
| dc.contributor.author | 余軒 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:31:02Z | - |
| dc.date.copyright | 2006-07-28 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-07-25 | |
| dc.identifier.citation | Bibliography
[1] J. Barraquand, “Numerical Valuation of High Dimensional Multivariate European Securities,” Management Science, Vol. 41 (1995), 1882-1891. [2] J. Barraquand and D. Martineau, “Numerical Valuation of High Dimensional Multivariate American Securities,” The Journal of Financial and Quantitative Analysis, Vol.30 (1995), 384-405. [3] Fischer Black, “The Pricing of Commodity Contracts”, Journal of Financial Economics, Vol. 3 (1976), 167-179. [4] P. Boyle, J. Evnine and S. Gibbs, “Numerical Evaluation of Multivariate Contingent Claims,” The Review of Financial Studies, Vol. 2 (1989), 241-250. [5] P. Boyle, M. Broadie and P. Glasserman, “Monte Carlo Methods for Security Pricing,” Journal of Economics Dynamics & Control, Vol. 21 (1997), 1267-1231. [6] P. Carr, R. Jarrow and R. Myneni, “Alternative Characterization of American Puts,” Mathematical Finance, Vol. 2 (1995), 87-106. [7] A. Gamba and L. Trigeogis, “An Improved Binomial Lattice Method for Multi-Dimensional Options,” Working Paper, Department of Economics, University of Verona, 2005. [8] D. Gentle., “Basket Weaving,” Risk Magazine, Vol. 6(1993), 51-52 [9] J. C. Hull, Options, Futures, and Other Derivatives. 5-th Edition, Englewood Cliff, NJ, Prentice Hall, 2003. [10] R. Jarrow and A. Rudd, “Approximate Option Valuation for Arbitrary Stochastic Processes,” Journal of Financial Economics, Vol. 10 (1982), 347-369. [11] N. Ju, “Pricing an American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function,” The Review of Financial Studies, Vol. 11 (1998), 627-646. [11] N. Ju, “Pricing Asian and Basket Options Via Taylor Expansion,” Journal of Computational Finance, Vol. 5 (2002), 79-103. [12] Yuh-Dauh Lyuu, Financial Engineering and Computation. Cambridge, UK, New York, NY: Cambridge University Press, 2002. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25806 | - |
| dc.description.abstract | Basket option is an option whose payoff depends on the value of a portfolio of underlying assets. Basket option is challenging to price using conventional methods since the weighted sum of lognormal random variables is no longer lognormally distributed. American versions of basket options, i.e., where the owner have the right to exercise early, are particularly challenging to price. We introduce the idea of lognormal approximation and applying Ju’s (1998) method, we extend the idea to price American basket options. We found that the more positively correlated the underlying assets are, the more accurate this method would be. The main contribution of this thesis is that we propose a method to price American basket options efficiently, especially for short maturity options. We test this method for short maturity (4 months and 1 year) and long maturity (3 years) options. Numerical results illustrate the performance of the method. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:31:02Z (GMT). No. of bitstreams: 1 ntu-95-R93723048-1.pdf: 602237 bytes, checksum: bda9e2436ae798a8958d72251c075f82 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | Contents
1 Introduction 1.1 Introduction ………………………………………………… 1 1.2 Organization of This Thesis ………………………………… 2 2 Fundamental Concepts in Option Pricing, Model Description, and Literature Review 2.1 Risk Neutral Pricing ………………………………………… 3 2.2 Model Description …………………………………………… 4 2.3 Literature Review …………………………………………… 7 3 Pricing European-Style Basket Options 3.1 The Lognormal Approximation ……………………………… 12 3.2 Taylor Series Expansion: Ju’s Method ……………………… 16 4 Pricing American-Style Basket Options 4.1 Optimal Stopping Problem ………………………………… 24 4.2 Lognormal Approximation …………………………………32 5 Numerical Results ……………………………………… 33 Appendix ………………………………………………………… 44 Bibliography ……………………………………………………… 49 | |
| dc.language.iso | en | |
| dc.subject | 多資產選擇權評價 | zh_TW |
| dc.subject | 美式選擇權 | zh_TW |
| dc.subject | 蒙地卡羅法 | zh_TW |
| dc.subject | 一籃子選擇權 | zh_TW |
| dc.title | 算術平均一籃子選擇權之評價 | zh_TW |
| dc.title | Pricing Arithmetic Average Basket Options | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,金國興 | |
| dc.subject.keyword | 多資產選擇權評價,一籃子選擇權,美式選擇權,蒙地卡羅法, | zh_TW |
| dc.subject.keyword | Multi-Asset Option Pricing,Basket Options,American Options,Monte Carlo Method, | en |
| dc.relation.page | 50 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2006-07-25 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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