repository
미국형 옵션: 마팅게일 이론에 근거한 수치적 또는 분석적인 방법
- Alternative Title
- Liu Lin
- Author(s)
- Lin, Liu
- Alternative Author(s)
- Liu Lin
- Advisor
- 원동철
- Department
- 일반대학원 금융공학과
- Publisher
- The Graduate School, Ajou University
- Publication Year
- 2012-08
- Language
- eng
- Keyword
- Binomial Method; Monte Carlo Method; Martingale; Stopping Time; A Perpetual Mixed American Option; Knock-Out Barrier
- Alternative Abstract
- American options give the holder the right to exercise the option at or before the maturity time. This characteristic of American options makes it somewhat difficult to value numerically. However, the pricing of the American option is one of the most important and interesting topics in financial engineering. The numerical pricing of American option is vital to securities market participants, because of the practical usage of American option and the importance in the trading market. Based on the option pricing theory, we will apply Monte Carlo method and binomial method to price American put option, and investigate comparatively the performance of these numerical methods. It is well-known that, there is no closed form solution for American options, except for American call options without paying dividends, thus numerical pricing is essential and important for American option. The Black-Scholes (B-S) option pricing theory will be a guide for our pricing. The martingale theory for option pricing will be used to analyze the American options pricing. A perpetual mixed American option is constructed. By martingale theory and dynamic programming, we get closed form solution for this option. Also a perpetual mixed option with knock-out barrier is constructed, and we analyze and get the closed form solution for this option.
- Fulltext
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
- Files in This Item:
- There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.
-
- License
- STATISTICS
- Total Visit :4,068,277
- Total Download :1,966
- Today View :7,598
