查詢結果分析
來源資料
相關文獻
- 美式向後看選擇權效率訂價及避險方法之研究
- 多重轉折點貝氏分析之應用
- A Monte Carlo Sampling Plan for Estimating Network Reliability
- Using Three Value-at-Risk Models to Measure the Financial Risk of Various Portfolios Including Taiwan and Hong Kong Stock Indices and International Currencies during the Asian Crisis Period
- 推導適用於伴隨蒙地卡羅法模擬光子康普吞散射之克萊恩--仁科公式
- 利用國外臺股指數期貨避險最適避險比率之探討
- 避險比率, 期限效果與股票指數期貨避險成敗
- 計算物理專題(1)--變分蒙地卡羅法在晶格模型中的應用
- 渦輪分子幫浦單級二維流道之直接模擬蒙地卡羅法計算
- 純鍺偵檢器偵測效率之蒙地卡羅法模擬評估
頁籤選單縮合
題 名 | 美式向後看選擇權效率訂價及避險方法之研究=A Study of Efficient Methods for the Valuation and Hedging of American-Style Lookback Options |
---|---|
作 者 | 張傳章; 朱立信; | 書刊名 | 證券市場發展季刊 |
卷 期 | 10:2=38 1998[民87.] |
頁 次 | 頁63-91 |
分類號 | 563.54 |
關鍵詞 | 向後看選擇權; 收歛速度; 控制變異技術; 蒙地卡羅法; 避險比率; Lookback options; Convergence speed; Control variate technique; Monte carlo simulation; Hedge ratios; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究首先將Hull-White(1993) 所提出之美式標準型向後看選擇權之訂價方法 ,擴展至 Conze-Viswanathan (1991) 所定義之其他三種向後看選擇權之上,然後我們以模 擬的方式檢驗 Hull-White (1993) 效率訂價法之收歛速度, 由模擬結果發現 Hull-White (1993) 效率訂價法之收歛速度非常緩慢, 因此限制了該模型之實用價值, 為了解決 Hull-White (1993) 效率訂價法收歛速度緩慢的缺失, 我們引用 Hull-White (1998) 之控 制變數技術 (Control Variate Technique ), 並利用 Conze-Viswanathan (1991) 所導出 之封閉式解為控制變數,進而發展出一個快速收歛之美式向後看選擇權訂價法。由模擬結果 得知,本文所提出之修正型 Hull-White 美式向後看選擇權訂價法,不但可以準確地計算出 各式各樣的美式向後看選擇權價格, 且其計算效率亦較原 Hull-White (1993) 效率定價法 快了近 600 至 900 倍。 再則,我們亦將 Conze -Viswanathan (1991) 所導致之封閉式解 加以偏微分,以求得歐式向後看選擇權之各種避險比率,並進而以這些避險比率作為控制變 數,快速且準確地計算出各式各樣的美式向後看選擇權避險比率。 |
英文摘要 | This study firstly extends the Hull and White (1993) efficient procedures for valuing American-Style lookback options to other three types of lookback options defined by Conze and Viswanathan (1991). We then test the convergence speed of the Hull and White (1993) model by carrying out simulations. From the simulation results, we find that the convergence speed of the Hull and White (1993) model is very slow. The shortcoming of slow convergence limits the applications of the Hull and White (1993) model into practice. To solve the shortcoming of slow convergence encountered in the Hull and White (1993), we employ the closed-from solution of European lookback options derived by Conze and Viswanathan (1991) as a control variable to construct a fast convergence model for valuing various American-Style lookback options. From the simulation results, the modified Hull-White model is not only 600 to 900 times faster than the Hull and White (1993) model but also able to compute the option values and Hedge ratios in a high degree of accuracy. |
本系統中英文摘要資訊取自各篇刊載內容。