離散回顧式多資產極值選擇權之評價

Valuation of Discrete Lookback-Style Maximum or Minimum Option of Multiple Assets

陳俊英(Jung-Ying Chen)

指導教授 ： 陳思寬 ； 王之彥

國立臺灣大學/管理學院/國際企業學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.01866

摘要

無資料

關鍵字

離散回顧選擇權 ； 多資產極值選擇權

並列摘要

There are two contributions in this article. The first is to offer a general
version of martingale pricing method to value the class of options whose
payoffs depend on historical prices of multiple assets.
The second is to derive a Black-Scholes-type closed form formula of options
on the maximum or minimum of multiple assets’ discrete lookback
prices. In addition, the formula is able to degenerate to the one for options
on the maximum or minimum of multiple assets in Johnson (1987) and the
one for discrete lookback option for one asset in Heynen and Kat (1995).

並列關鍵字

lookback option ； maximum or minimum of multiple assets

參考文獻

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[3] Cheng, W. Y. and S. Zhang, 2000, The Analytics of Reset Options, Journal of Derivatives 8, 59-71.

[4] Conze, A. and Viswanathan, 1991, Path Dependent Options: The Case of Lookback Options. The Journal of Finance 46, 1893-1907.

[5] Goldman, B. M., H. B. Sosin, and L. A. Shepp, 1979, On Contingent Claim That Insure Ex-post Optimal Stock Market Timing, Journal of Finance 34, 401-414.

[6] Goldman, B. M., H. B. Sosin, and M. A. Gatto, 1979, Path Dependent Options: "Buy at the Low, Sell at the High", Journal of Finance 34, 1111-1127.