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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95486


    Title: 美式新奇選擇權之相關研究
    Authors: 周奇勳
    Contributors: 陳松男
    蔡紋琦
    周奇勳
    Keywords: 提前履約溢酬
    偏微分方程
    二次逼近法
    修正二次逼近法
    Date: 2002
    Issue Date: 2016-05-09 16:23:27 (UTC+8)
    Abstract: 　　美式態型的新奇選擇權在現今金融市場逐漸扮演重要的角色，但是由於其性質較歐式複雜，在評價上尚未發展出公式解(Closed Form Solution)。本文以解析近似模型(Analytical Approximation Pricing Model)為評價觀念，求解提前履約溢酬的價值，推導出評價模型，從而運用在三種不同型式的新奇選擇權上；包括次方選擇權、匯率連動選擇權、與數據選擇權。另外，在數值結果分析上，藉由給定不同水準的參數，與不同的評價模型進行比較分析，本文之評價模型具有精確且計算效率的特點，提供投資雙方在契約訂定上參考依據。
    Reference: 中文部份：
    1. 陳松男，期貨與選擇權：衍生性商品理論與實務，三民書局，85年5月初版
    2. 陳松男，金融工程學：金融商品創新、選擇權理論，華泰文化，91年1月初版
    3. 陳威光，選擇權：理論、實務與應用，智勝文化，90年1月初版
    英文部份：
    1. Barone-Adesi, G., and R. Whaley. “Efficient Analytical Approximation of American Option Values.” Journal of Finance, 42(1987), pp.301-320.
    2. Black, F., and M. Scholes. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, 81(1973), pp.637-659.
    3. Breen, R. “The Accelerated Binomial Option Pricing Model.” Journal of Financial and Quantitative Analysis, 26(1991), pp.153-164.
    4. Breenan, M., and E. Schwartz. “The Valuation of American Put Options.” Journal of Finance, 32(1997), pp.449-462.
    5. Broadie, M., and J. Detemple. “American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods.” Review of Financial Studies, 9(1996), pp.1211-1250.
    6. Bunch, D.S., and H. Johnson. “A Simple and Numerically Efficient Valuation Method For American Puts Using a Modified Geske-Johnson Approach.” Journal of Finance, 47(1992), pp.809-816.
    7. Cox, J. C., S.A. Ross, and M. Rubinstein. “Options Pricing: A Simplified Approach.” Journal of Financial Economics, 7(1979), pp.229-264.
    8. Dravid, A., M. Richardson, and T. Sun. “ Pricing Foreign Index Contingent Claims: An Application to Nikkei Put Warrants.” Journal of Derivativs, (1993), pp.33-51.
    9. Geske, R., “The Valuation Compound Options.” Journal of Finance Economics , 7(1979), pp.63-81.
    10. Geske, R., and H.E. Johnson. “The American Put Valued Analytically.” Journal of Finance, 39(1984), pp.1511-1524.
    11. Hull, J., Options, Futures, and Other Derivatives, Prentice-Hall, 2000.
    12. Johnson, H. “An Analytical Approximation for the American Put Price.” Journal of Finance and Quantitative Analysis, 18(1983), pp141-148.
    13. Ju, N. and Zhong, R., “An Approximate Formula for Pricing American Options.” Journal of Derivatives, (1999), pp.31-40.
    14. Les Clewlow and Chris Strickland, Implementing Derivatives Models, John Wiley & Sons, 1998.
    15. MacMillan, L.W. “An Analytical Approximation for the American Put Prices.” Advances in Futures and Options Research, 1(1986), pp.119-139.
    16. Reiner, E. “Quanto Mechanics.” Risk, (1992), pp59-63.
    Description: 碩士
    國立政治大學
    統計學系
    88354002
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000272
    Data Type: thesis
    Appears in Collections:[Department of Statistics] Theses

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