Applying Simulation Methodology in the Exotic Option Pricing -- an Example of Arithmetic Average Option
| Autor: | Hong, Liang-Ji, 洪良吉 |
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| Rok vydání: | 1997 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 85 In the open financial market﹐options are ideal tools to manage risks. The exotic option is the second generation of options. Compared to options﹐their major feature is that they can be designed by individual investor''s risk demand. So they can efficientlyextend the range of risk management of options. Because exotic options are various in the contracts, their pricing model is very complicated even no closed form mathematical solution. Therefore﹐when no closed form solution can be derived from mathematics, one solution of the pricing model is the simulation method.So this study will emphasize on how the simulation method uses in the research of the exotic option pricing model. The expectation of this study is to construct a simulation analytic procedure of the exotic option pricing. This study takes the arithmetic average option for example which has no closed form solution in pricing and applies the same method to simulate and analyze its characteristics of sensibility parameters. At last, this study will discuss the problems which was brought from the exotic option pricing procedure when applying the simulation method. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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