訂價美式障礙選擇權經由最小平方蒙地卡羅法

On the Least-Square Monte Carlo (LSM) for Pricing American Barrier options

李佳澎(Chia-Peng Lee)

指導教授 ： 呂育道

國立臺灣大學/管理學院/財務金融學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.00371

摘要

無資料

關鍵字

美式障礙選擇權

並列摘要

Barrier options are options that are either extinguished (“out”) or established (“in”), when the price of the underlying asset crosses a particular level (“barrier”). Common examples are “down-and-out,” “down-and-in,” “up-and-out” and “up-and-in” options, which can be calls or puts. An additional feature of some barrier options is that a rebate is paid when the option is extinguished or an additional premium is due when the option is established. Closed-form formulas for European barrier options are known in the literature. This is not the case for American barrier options, for which no closed-form formulas have been published. One has therefore had to resort to numerical methods. Using lattice models on binomial or trinomial trees for the valuation of barrier options is known to converge extremely slowly compared to plain vanilla options. In this thesis we show how to apply a simple, yet powerful, least-square Monte Carlo algorithm to approximate the value of American barrier options.

並列關鍵字

American barrier options ； LSM ； Decomposition technique

參考文獻

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