呂育道臺灣大學：財務金融學研究所林維德Lin, VaderVaderLin2007-11-282018-07-092007-11-282018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/60863價值取決於兩個資產的選擇權可被5-jump模型評價。然而，在不同資產上分別有觸價條件時，此模型產生的價格變動幅度過大。本篇論文建立一個更有彈性的9-jump模型，能同時準確地到達兩個觸價條件。並且此模型的收斂行為平順許多。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.1 Introduction ... 1 1.1 Introduction ... 1 1.2 Organization of This Thesis ... 2 2 Background ... 3 2.1 A 5-Jump Model ... 3 3 A 9-Jump Model ... 5 4 Numerical Results ... 9 4.1 Evaluation of Spread Options ... 9 4.2 Evaluation of European Dual-strike Options with One Barrier ... 10 4.3 Evaluation of European Dual-strike Options with Two Barriers ... 11 5 Conclusions ... 12 Bibliography ... 13280178 bytesapplication/pdfen-US觸價選擇權多資產Barrier OptionMultiple Assetsthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60863/1/ntu-95-R93723024-1.pdf