美式選擇權的定價－隱含相信模型及美國S&P 100指數選擇權的應用

Pricing of the American Option-An Implied Belief Model and Its Application to American S&P 100 Index Option

蔡明憲(Min-Shann Taisy) ； 徐守德(David Shyu) ； 廖四郎(Szu-Lang Liao) ； 許溪南(Hsi-Nan Hsu)

《中國財務學刊》 8卷1期 (2000/04) Pp. 33-66

https://doi.org/10.6545/JoFS.2000.8(1).2

摘要

本文提出一個新的美式選擇權定價方法－隱含相信模型。在現有文獻上，有限到期日的美式選擇權的定價迄今仍未有封閉解，原因為其須決定最佳的停止點（optimal stopping time）。本文以賣美式選擇權者的角度來分析美式選擇權的定價，決定出美式選擇權的上限值。經由該值，本文引入一賣方相信的臨界執行價格觀念，藉由該觀念及所推導的上限值，可得美式選擇權價值的封閉解（closed-form solution）。文後並以美國S&P 100指數選擇權實證，求得賣方的隱含相信值（implied belief），以為理論模型的應用。

關鍵字

美式選擇權 ； 最佳停止點 ； 隱含相信值

並列摘要

This paper proposes a new method- the implied belief model, to obtain a closed-form solution of the value of the American option. We analyze the value of the American option through the view point of the sellers of the options. By adopting this method, we derive the upper bound for the value of an American option. Then we define the belief value of seller to obtain a closed-form solution of the value of an American option. Finally, we apply the method to S&P 100 American option and deduce the implied belief value.

並列關鍵字

American option,optimal stopping time,Implied belief value

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