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| 研究生： |
林煒程 Lin, Wei-Cheng |
|---|---|
| 論文名稱： |
以多變量樹狀模型評價美式價差選擇權 A Lattice Method for Pricing American Spread Options with Multiple Stochastic State Variables |
| 指導教授： |
索樂晴
So, Leh-Chyan |
| 口試委員: |
林哲群
Lin, Che-Chun 蔡錦堂 Tsay, Jiin-Tarng 楊屯山 Yang, Twan-Shan |
| 學位類別： |
碩士 Master |
| 系所名稱： |
科技管理學院 - 計量財務金融學系 Department of Quantitative Finance |
| 論文出版年： | 2020 |
| 畢業學年度： | 108 |
| 語文別： | 英文 |
| 論文頁數： | 18 |
| 中文關鍵詞： | 樹狀模型 、美式選擇權 、價差選擇權 |
| 外文關鍵詞： | Lattice method, American options, Spread options |
| 相關次數： | 點閱：2 下載：0 |
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本文以Russo和Staino (2018)的模型為基礎，建立價差選擇權的樹狀訂價模型，並與最小平方蒙地卡羅法 (Longstaff和Schwartz, 2001)進行比較。模型的假設上，樹狀模型對資產價格的動態過程有較多限制，但已足以應用於多種場合。計算速度方面，本文讓兩模型針對54種美式價差賣權訂價。數值結果顯示樹狀訂價模型能在短時間內收斂，且計算結果精確。此外，針對不同參數的賣權，亦可給出精確的結果。
We present a lattice pricing method for spread options based on the model of Russo and Staino (2018). This method is flexible, fast and accurate. It could deal with different kinds of asset price dynamics. It is easy to add extra risk factors to this model. To assess lattice model, we compare it with Least Squares Monte Carlo by computing American spread put option prices. The results indicate that lattice method converges quickly. Besides, the answers given by lattice method are close to the benchmark. The numerical experiments show the efficiency and accuracy of lattice method.
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