The Pricing of Three-Expiry Exotics

三個到期日新奇選擇權之評價

10.29950/JHKUM.200801.0009

楊世芳(Shih-Fang Yang)

三個到期日新奇選擇權 ； 可延長選擇權 ； 喊叫選擇權 ； 後定選擇權 ； three-expiry exotic option ； extendable option ； cliquet option ； chooser option

興國學報

9期（2008 / 01 / 01）

145 - 156

英文

本研究以期望方法運用不同階層（三階，二階，一階）二元素選擇權概念，針對三個到期日新奇選擇權進行評價。首先介紹標準選擇權與二元素選擇權基本原理，再則評價可延長選擇權（Extendable option），喊叫選擇權（Cliquet option），後定選擇權（Chooser option）與使用者定義之選擇權等三到期日之新奇選擇權，本文重點不在求得BS（Black-Schole）的正式解，而在於解釋表達如何利用不同階層二元素報酬型態組合而成新奇選擇權之報酬型態。運用此方法優點除了數學式更為容易表達外，BS模式外之其它模式能容易有效擴展，當然亦包含使用者定義之選擇權。

In this paper we apply expectation method for pricing of some exotic options with three-expiry date using a concept of different (third, second, first) order binary option. At first we introduce the concept of standard options and binary option, then apply them to pricing of some three-expiry exotic options such as, extendable option, cliquet option, chooser option and user defined option. We do not try to get formal solution of the Black-Schole (BS) equation, but explain how to express the expiry payoff of the exotic option as a combination of the payoff of some class order binary options. This method take some advantages include valid for a wider class of models than Black-Schole’s; easy to extend any user defined options and mathematical representation formulae more simpler.

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