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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/36705
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36705


    Title: 回顧型選擇權的評價與分析--間斷時間模型
    An Efficient Procedure for Valuing Lookback Options--Discrete Time Model
    Authors: 黃育智
    Contributors: 陳威光
    江彌修

    黃育智
    Keywords: 回顧型選擇權
    間斷時間模型
    Hull and White
    Date: 2002
    Issue Date: 2009-09-18 19:20:12 (UTC+8)
    Abstract: 本篇論文比較了現有評價回顧型選擇權的眾多模型,結果發現Babbs[2000]在評價浮動履約價回顧型選擇權有較佳的效果。然而,在實務上,許多回顧型選擇權契約的訂定都是依照每日、每週、或是每禮拜的收盤價作為回顧的觀察時點,並非連續的觀察時點。因此,我們修正了Babbs[2000]的方法去評價美式與歐式間斷觀察時間點的回顧型選擇權價值。結果發現,回顧型賣權在連續時間下的價值比間斷時間下的價值高出許多。這意謂著,假使我們用連續時間的模型去評價間斷時間條款的回顧型選擇權,將造成相當大的誤差。因此,確實有發展間斷時間下評價回顧型選擇權方法的必要,而本篇論文所提出的方法在評價的結果上也令人滿意。
    This paper presents an efficient procedure for valuing floating strike lookback options in continuous-time. In practice, however, most contracts are based on the extrema of prices sampled at a finite set of fixed dates. We modify the method of Babbs [2000] to value finite sampling European and American lookback options in discrete-time. At the same time, we investigate the difference in option values between continuous and finite sampling. We find that the problem of overvaluing is more serious in valuing finite sampling lookback puts by continuous-time model. In addition, we derive a numerical method to value partial lookback options which incorporate the cost-reduction feature in the premium of lookback options.
    Reference: 1. 朱立信,”路徑相依選擇權快速評價模型與避險之研究”,中央大學企業管理
    研究所碩士論文,民國86年6月。
    2. 陳松男,「金融工程學」,華泰文化事業股份有限公司,2002年1月。
    3. 陳威光,「選擇權—理論、實務與應用」,智勝,2001年。
    4. 鄒勁松,”路徑相依型選擇權的評價、避險與應用”,台灣大學財務金融研究
    所碩士論文,民國90年6月。
    5. Babbs, S., “Binomial Valuation of Lookback Options,” Journal of Economic
    Dynamics & Control, 24 (2000), pp. 1499-1525.
    6. Borovkov, K. and A. Novikov, “On A New Approach to Calculating Expectations
    for Option Pricing,” Journal of Applied Probability, 39 (Dec. 2002), pp.889-895.
    7. Cheuk, T. H., and T. C. F. Vorst, “Currency Lookback Options and Observation
    Frequency: A Binomial Approach,” Journal of International Money and Finance,
    16 (1997), pp. 173-187.
    8. Conze, A., and Viswanathan, “Path Dependent Options: The Case of Lookback
    Options,” The Journal of Finance, 46 (Dec. 1991), pp.1893-1907.
    9. Goldman, M. B., H. B. Sosin, and M. A. Gatto, “Path-Dependent Option: Buy at
    the Low, Sell at the High,” Journal of Finance, 34 (1979), pp.1111-1127.
    10. Hull, J., and A. White, “Efficient Procedure for Valuing European and American
    Path-Dependent Options,” The Journal of Derivatives, (Fall 1991), pp. 21-31.
    11. Hull, J., and A. White, “The Use of the Control Variate Technique in Option
    Pricing,” Journal of Financial and Quantitative Analysis, 23 (Sep. 1988), pp. 237-251.
    12. Neave, E., H., and S. Slavisky, “A Frequency Distribution Approach to Valuing
    Maximum Options,” The Journal of Derivatives, (Spring 2001), pp. 52-62.
    13. Neave, E. H., “A Frequency Distribution Approach for Valuing Average Options,”
    Astin Bulletin, 27 (Nov. 1997), pp. 173-205.
    Description: 碩士
    國立政治大學
    金融研究所
    90352005
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090352005
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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