國立台灣大學財務金融學系Chen, Chao-JungChao-JungChen2006-09-272018-07-092006-09-272018-07-092003http://ntur.lib.ntu.edu.tw//handle/246246/20060927122850289384This thesis deals with European and American options with tree methods via extrapolation and provides an e fficient methodology.Binomial and trinomial trees are widely used in numerical methods for derivatives pricing and applicable across a wide range of option types.However,convergence to the correct option price is oscillatory and nonmonotonic.This situation makes the tree method inaccurate and unsuitable for extrapolation.We fix the problem by pegging the strike price in the CRR method and make it applicable for extrapolation.application/pdf359170 bytesapplication/pdfzh-TWOption pricingextrapolationbinomial treesawtooth effectreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/20060927122850289384/1/thesis_r90723064.pdf