政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/3716
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3716


    Title: 以分解結合法加速界限選擇權評價之效率
    Authors: 陳威光;周行一
    Contributors: Accelerating Barrier Opition Pricing in Lattices
    Keywords: 重設型選擇權;三元樹模型;界限選擇權;認購權證;分解結合法
    reset option;trinomial tree;barrier option;B-S model;combination method
    Date: 2001
    Issue Date: 2007-04-18 16:34:44 (UTC+8)
    Publisher: 臺北市：國立政治大學金融系
    Abstract: 選擇權評價方式，一般可分封閉解（Closed-Form Solution）與數值方法（Numerical Method）等兩大類。封閉解譬如Black-Sholes 公式計算速度快，但卻十分缺乏彈性，例如無法評價美式選擇權及大部分的新奇選擇權；相反的，數值分析則相當具有彈性，但在評價時卻會比較耗時。本文結合數值方法中的樹網模型，再輔以封閉解維持應有的彈性，加快計算速度，我們將此方法稱之為分解結合法。本研究利用Ritchken（1995）的三元樹模型，並搭配分解結合法對各式重設型選擇權來進行評價速度之分析。首先，針對單期單價式與整段區間單價式的重設型選擇權，來推導適用於分解結合法之方法。再以這兩種基本的重設型選擇權為基礎，將相同概念推廣至其他更複雜的重設型選擇權，並且比較分解結合法和樹網模型在評價重設型選擇權二者的評價效率。本文結果顯示，利用分解結合法不但能夠提高計算的速度，同時在某些條件下，還能減少其評價的波動度。
    This study combines trinomial tree method (Ritchken,1995) with Black-Scholes (B-S, 1973) option pricing formula to value reset options. The results show that with the combination method, the computation speed (cpu-time) is less than that of in Ritchken`s trinomial model. When the time step is large, the time saving is very significant. For instance, the combination approach needs only 3 seconds cpu-time, however Ritchken` method needs almost 300 seconds.
    Description: 核定金額：308800元
    Data Type: report
    Appears in Collections:[Department of Money and Banking] NSC Projects

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