Option Pricing under Model Uncertainty
Date Issued
2004
Date
2004
Author(s)
Liu, Chia-Ming
DOI
zh-TW
Abstract
The main purpose of this thesis is to find out the way to price option when the model uncertainty exists in the market. First, we construct a one-period model with a representative agent who is uncertainty aversion. Then, we use the maxmin approach to derive the equilibrium market price of the option. In the result of our analysis, we find that the more the degree of the model uncertainty in the market, the higher the equilibrium market price of the option. Besides, the parameters related to the equilibrium market price of the option have the same properties with those in the Black-Scholes option pricing model, including the volatility and the strike price. Moreover, the「Put-Call Parity」 is still hold if there is only one representative agent in the market.
Subjects
模型不確定性
選擇權定價
極大極小化方法
model uncertainty
option pricing
maxmin approach
Type
thesis
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