呂育道臺灣大學:財務金融學研究所陳家隆Chen, Chia-LungChia-LungChen2010-05-112018-07-092010-05-112018-07-092008U0001-2507200817460700http://ntur.lib.ntu.edu.tw//handle/246246/182642近年來，有諸多文章探討亞式選擇權的評價方式，譬如運用數值方法或是使用近似封閉解等方式來加以探討。其中有Milevsky and Posner (1998) 提出使用倒數伽瑪分配來求取亞式選擇權的近似封閉解，在本論文中推廣此一方法於評價匯率連動亞式選擇權。接著再運用蒙地卡羅模擬(Monte Carlo simulation)來加以驗證本論文所提出之近似封閉解，結果得到相當準確的答案，因此相信本論文可以提供有效之匯率連動亞式選擇權的近似封閉解。In recent years, there has been a lot of research on the pricing of Asian options. Examples include analytic approximation formulas and the binomial option pricing model. Milevsky and Posner (1998) give a closed-form analytic approximation expression for the value of the Asian option with the reciprocal gamma distributions. In this thesis we extend the approximation formulas of Milevsky and Posner to value two types of exchange rate-linked Asian options. To assess the accuracy of the resulting prices, we use Monte Carlo simulation to establish the benchmarks. These simulations show that the proposed solution is fairly accurate.Chapter 1 Introduction………………………………………………………...1.1 Introduction ……………………………….…….………………………………...1.2 Literature Review………………………….…….………………………………...3.3 Structure of the Thesis……………………………………………………………..4hapter 2 Background…………………………………………………………5.1 Models and Basic Results………………………………………………………5.2 Gamma Distributions…………………………………………………………...10.3 Reciprocal Gamma Distributions……………………………………………….11hapter 3 Analytic Approximation Formulas…………………...…...13.1 Floating Exchange Rate-Linked Asian Options….………………………………13 3.2 Fixed Exchange Rate-Linked Asian Options…………………………………….16hapter 4 Numerical Results…………………………………………...….20hapter 5 Conclusions and Future Works………………………….….23ibliography……………………………………………………………………..24application/pdf280666 bytesapplication/pdfen-US亞式選擇權倒數伽瑪分配匯率連動亞式選擇權蒙地卡羅模擬reciprocal gamma distributionsexchange rate Asian optionsMonte Carlo simulationthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182642/1/ntu-97-R93723092-1.pdf