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| 題 名 | 平均選擇權定價之控制變異估計量的比較=Comparison of Control Variate Estimators for Pricing Average-Rate Options |
|---|---|
| 作 者 | 陳俊傑; 陳懿蘋; | 書刊名 | 健行學報 |
| 卷 期 | 34:1 2014.01[民103.01] |
| 頁 次 | 頁31-47 |
| 分類號 | 562.1 |
| 關鍵詞 | 亞式選擇權; 控制變異法; 幾何布朗運動; 蒙地卡羅法; 選擇權定價; Asian options; Control variate techniques; Geometric Browning motion; Monte Carlo method; Option pricing; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 近年來,已有不少文獻針對選擇權作過相關的研究,選擇權儼然已成為金融界裡最熱門的衍生性商品。由於亞式選擇權具有低成本及符合實務性的避險功能,所以在實務界上對亞式選擇權的訂價方法是相當重視,特別是算術平均選擇權原本就不屬於常態分配,其訂價至目前為止尚無法求出封閉解,因此,只能利用近似解或數值方法來求得最佳理論價格,故而更引發了學術界對此議題的興趣。根據過去文獻可發現,蒙地卡羅法是眾多數值求解法中彈性較佳者,相當適用於亞式選擇權的評價上。此外,為使模擬值達到較佳的精準度,本研究將以匯率為標的資產來檢測亞式選擇權之訂價績效,並針對蒙地卡羅法、反向變異法以及採用另三種控制變異來作綜合性之比較,藉以篩選出最佳的控制變異,結果發現幾何平均是有助於改善亞式外匯選擇權評價效率之最理想的控制變異。 |
| 英文摘要 | In recent years, there is already much literature on the topic of option. Option has become the most popular derivative in the financial circles. The pricing of Asian options in the market have been an important topic as a result of their low cost and practical function of hedging. As the closed-form solution of pricing arithmetic average option has not been developed, approximations or numerical methods are adopted for the best theoretic value. This would be the reason provoking the interest from academics on this issue. Based on a review of literature, Monte Carlo is the most useful approach among other numerical methods and is suited to pricing Asian options. This research uses currency exchange rate as underlying assets to examine the performance of pricing of Asian options for better accuracy of simulation. Furthermore, the crude Monte Carlo method, the antithetic variable technique and other three control variates are also utilized for comparison in order to produce the best control variate. The conclusion shows that geometric average is the best control variate in effectively improving the pricing of Asian foreign exchange options. |
本系統中英文摘要資訊取自各篇刊載內容。