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| 研究生： |
黃育智 |
|---|---|
| 論文名稱： |
回顧型選擇權的評價與分析--間斷時間模型 An Efficient Procedure for Valuing Lookback Options--Discrete Time Model |
| 指導教授： |
陳威光
江彌修 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2003 |
| 畢業學年度： | 91 |
| 語文別： | 英文 |
| 中文關鍵詞： | 回顧型選擇權 、間斷時間模型 |
| 相關次數： | 點閱：169 下載：29 |
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本篇論文比較了現有評價回顧型選擇權的眾多模型，結果發現Babbs[2000]在評價浮動履約價回顧型選擇權有較佳的效果。然而，在實務上，許多回顧型選擇權契約的訂定都是依照每日、每週、或是每禮拜的收盤價作為回顧的觀察時點，並非連續的觀察時點。因此，我們修正了Babbs[2000]的方法去評價美式與歐式間斷觀察時間點的回顧型選擇權價值。結果發現，回顧型賣權在連續時間下的價值比間斷時間下的價值高出許多。這意謂著，假使我們用連續時間的模型去評價間斷時間條款的回顧型選擇權，將造成相當大的誤差。因此，確實有發展間斷時間下評價回顧型選擇權方法的必要，而本篇論文所提出的方法在評價的結果上也令人滿意。
This paper presents an efficient procedure for valuing floating strike lookback options in continuous-time. In practice, however, most contracts are based on the extrema of prices sampled at a finite set of fixed dates. We modify the method of Babbs [2000] to value finite sampling European and American lookback options in discrete-time. At the same time, we investigate the difference in option values between continuous and finite sampling. We find that the problem of overvaluing is more serious in valuing finite sampling lookback puts by continuous-time model. In addition, we derive a numerical method to value partial lookback options which incorporate the cost-reduction feature in the premium of lookback options.
I. Introduction 2
II. A Procedure for Valuing Continuous-time Lookback Options 4
i. Basic assumption and the change of numeraire 4
ii. The binomial approximation scheme for M 6
iii. European and American floating strike lookback calls 7
III. Numerical results 9
i. European floating strike lookback options 9
ii. American floating strike lookback options 12
IV. A Procedure for Valuing Discrete-time Lookback Options 12
i. Basic assumption 13
ii. The binomial approximation scheme for 13
iii. Numerical results 16
iv. The binomial approximation scheme for 18
v. Numerical results 20
vi. The binomial approximation scheme for 21
vii. Numerical results 24
V. Difference Between Continuous and Daily Sampling Lookback Options 25
i. European floating strike lookback calls 26
ii. European floating strike lookback puts 30
VI. Modified Model for Valuing Partial Lookback Options 35
VII. Conclusion 37
Appendix
i. The closed form of (partial) lookback option 39
ii. Proof for American lookback call is equal to European lookback call 40
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