题名

以PDE評價離散式兩資產障礙選擇權

并列篇名

A PDE Approach to Value the Discrete Two-Asset Barrier Option

DOI

10.6545/JFS.2006.14(3).1

作者

王明隆(Andrew M. L. Wang);蕭義龍(Y. L. Hsiao)

关键词

離散式兩資產障礙選擇權 ; 初始值問題 ; 遞迴積分法 ; disc rete two -asset barrier option ; initial value problem ; recursive integral method

期刊名称

財務金融學刊

卷期/出版年月

14卷3期(2006 / 08 / 31)

页次

1 - 33

内容语文

繁體中文

中文摘要

離散式障礙檢查會導致選擇權評價PDE(partial differential equation)之解析解(analytic solution)在各離散檢查點呈現不連續之狀態。因此,為了獲得精確解,PDE在各離散檢查點之初始條件必須個別重新定義。由於PDE僅有遞迴初始條件之限制,離散式兩資產障礙選擇權之評價將可視為一系列之初始值問題,故遞迴積分法將可有效地求得其精確解。

英文摘要

Discrete barriers introduce discontinuities in the solution of the option pricing partial differential equation (POE) at discrete barriers' observation dates. An accurate solution to the pricing POE requires a redefinition of the initial conditions at respective barrier observation dates. Since only the initial conditions are recursively imposed on the POE, the pricing of the discrete two-asset barrier option can be defined as a sequence of the initial value problem. Thus, the recursive integral method is a highly efficient algorithm that calculates an accurate solution for the discrete two-asset barrier option.

主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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被引用次数
  1. 黃明官,吳明遠(2019).Using the Expected Final Return Model to Create Optimal Trading Strategy for Options: A Theoretical and Empirical Study Based on Evidence from Short Combination Strategy.財務金融學刊,27(3),111-145.
  2. 葉仕國、張森林、林丙輝(2016)。台灣衍生性金融商品定價、避險與套利文獻回顧與展望。臺大管理論叢,27(1),255-304。