跳躍擴散模型下離散型障礙選擇權之評價

Pricing Discrete Barrier Options Under A Jump-Diffusion Model

羅盛豐(Sheng-Feng Luo)

指導教授 ： 傅承德

國立臺灣大學/管理學院/財務金融學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.00200

摘要

無資料

關鍵字

路徑相依選擇權 ； 泛涵型中央極限定理 ； Siegmund的調整擴散逼近

並列摘要

The payoff of a barrier option depends on whether a specified underlying asset price crosses a specified level (called a barrier) during the life of the option. Most models for pricing barrier options assume continuous monitoring of the barrier. However, in practice, many real contracts with barrier provisions specify discrete monitoring times. Such options are called discrete barrier options. Broadie et al. (1997) showed that discrete barrier options can be priced using continuous barrier formulas by applying a simple continuity correction to the barrier under the geometric Brownian motion setting. In this article, we focus on the connection between the discrete and continuous barrier options using the same method of correction to the barrier but under the constant jump diffusion model. The correction is justified theoretically by applying the techniques from sequential analysis, particularly Siegmund (1985). And we also give numerical results.

並列關鍵字

path-dependent options ； functional central limit theorem

參考文獻

Amin, K. I. (1993), “Jump diffusion option valuation in discrete time”, The Journal of Finance,

48, 1833–1863.

Boyarchenko, S. and S. Levendorski˘i (2002), “Barrier options and touch-and-out options under

regular L´evy processes of exponential type”, The Annals of Applied Probability, 12,

1261–1298.