隨機波動性下障礙選擇權之評價分析

Pricing Barrier Options Under Stochastic Volatility

張傳章(Chuang-Chang Chang) ； 張森林(San-Lin Chung) ； 許博翔(Bor-Shayang Hsu)

《中國財務學刊》 8卷3期 (2000/12) Pp. 41-77

https://doi.org/10.6545/JoFS.2000.8(3).2

摘要

文獻上有關障礙選擇權訂價方法之探討者眾，其中Boyle-Tian（1999）利用變數轉換技巧，成功地建構一個可以計算常數彈性變異數（Constant Elasticity Variance）之障礙選擇權訂價模型，本文之貢獻在於將Hilliard- Schwartz（1996）之隨機波動性簡單型選擇權訂價模型，加以擴展至障礙選擇權的訂價之上，此外，我們亦驗證了Hillard-Schwartz和Boyle-Tian的模型，在特定參數設定下為本文模型的一個特例，再則，由模擬結果得知，隨機波動性對障礙選擇權價格的影響程度，遠較對簡單型選擇權價格的影響程度來得大。

關鍵字

障礙選擇權 ； 隨機波動性 ； 常數彈性變異數

並列摘要

There are tremendous papers to construct models for valuing barrier options. Recently, Boyle and Tian (1999) used change variable technique to succeed in building a model, which is able to value barrier options under constant elasticity variance process. The contribution of this paper is to extend the Hilliard and Schwartz's (1995) plain vanilla option pricing model with stochastic volatility to the case of barrier options. We also show that both the Hilliard and Schwartz's model and Boyle and Tian's model are special cases of our model under some specifications of pararreters. From the simulation results. we find that the stochastic volatility effects for barrier options are much larger than those of plain vanilla options

並列關鍵字

Barrier Options ； Stochastic Vohitility ； Constant Elasticity Variance

參考文獻

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Boyle, P. P.,S. H. Lau.(1994).Bumping Up against the Barrier with the Binomial Method.Journal of Derivatives.2,6-14.

Boyle, P. P.,Y. S. Tian(1999).Pricing Lookback and Barrier Option under the CEV Process.Journal of Financial and Quantitative Analysis.34,241-264.