Pricing American-Style Trend options
| Autor: | Cheng-Yang Wang, 王正揚 |
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| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 Trend derivatives are exotic options whose payoffs are connected to the trend of the underlying asset price on specific dates. Since the trend option is still young and unknownto people, studies focusing on American-style trend options remain absent. This thesis starts with evaluating three types of American-style trend option by the standard CRR tree model with the two-dimensional interpolation. After that, it also tried to illustrate why a investor who invest in the trend option is glad about underlying price lower than initial price during the days near the issue date. Finally, the Greeks of the trend option are presented and the comparison with the Greeks of Asian and plain vanilla options are conducted in the end of this thesis. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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