Pricing Barrier Options in Two Dimensions
Date Issued
2006
Date
2006
Author(s)
Lin, Vader
DOI
en-US
Abstract
Option whose value depends on two assets can be priced by a 5-jump model. However, when dealing with more than one barrier on different underlying assets, this model generates prices that oscillate too much. This thesis establishes a more flexible 9-jump model that can hit both barriers exactly. This model results in a much smoother convergence behavior.
Subjects
觸價選擇權
多資產
Barrier Option
Multiple Assets
Type
thesis
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ntu-95-R93723024-1.pdf
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23.31 KB
Format
Adobe PDF
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(MD5):5b4ab314d7fc71dd7efe47c497e04c76
