The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends

碩士 === 義守大學 === 管理科學研究所 === 91 === This study extended the results of lookback options to the pricing of options on the minimum or the maximum of multiple assets under assumptions of B-S pricing models. We derived the closed-form formulas of multiple assets rainbow standard lookback and extrema opti...

Full description

Bibliographic Details
Main Authors:	Hsu Joan, 徐若安
Other Authors:	陳昭宏
Format:	Others
Language:	zh-TW
Published:	2004
Online Access:	http://ndltd.ncl.edu.tw/handle/24896155136926331410

id	ndltd-TW-091ISU00457016
record_format	oai_dc
spelling	ndltd-TW-091ISU004570162015-10-13T17:01:33Z http://ndltd.ncl.edu.tw/handle/24896155136926331410 The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends 股利發放下多資產彩虹向後看選擇權之定價 Hsu Joan 徐若安碩士義守大學管理科學研究所 91 This study extended the results of lookback options to the pricing of options on the minimum or the maximum of multiple assets under assumptions of B-S pricing models. We derived the closed-form formulas of multiple assets rainbow standard lookback and extrema options with continuous dividends. To validate the accuracy of these formulas, we offered simulation results on call to compare with the result of Johnson. Keywords: Multiple Assets Option, Rainbow Option, Standard Lookback Options, Option on Extrema, Closed-fo 陳昭宏胡承方 2004 學位論文 ; thesis 72 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 義守大學 === 管理科學研究所 === 91 === This study extended the results of lookback options to the pricing of options on the minimum or the maximum of multiple assets under assumptions of B-S pricing models. We derived the closed-form formulas of multiple assets rainbow standard lookback and extrema options with continuous dividends. To validate the accuracy of these formulas, we offered simulation results on call to compare with the result of Johnson. Keywords: Multiple Assets Option, Rainbow Option, Standard Lookback Options, Option on Extrema, Closed-fo
author2	陳昭宏
author_facet	陳昭宏 Hsu Joan 徐若安
author	Hsu Joan 徐若安
spellingShingle	Hsu Joan 徐若安 The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends
author_sort	Hsu Joan
title	The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends
title_short	The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends
title_full	The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends
title_fullStr	The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends
title_full_unstemmed	The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends
title_sort	pricing of multiple assets rainbow lookback options with continuous dividends
publishDate	2004
url	http://ndltd.ncl.edu.tw/handle/24896155136926331410
work_keys_str_mv	AT hsujoan thepricingofmultipleassetsrainbowlookbackoptionswithcontinuousdividends AT xúruòān thepricingofmultipleassetsrainbowlookbackoptionswithcontinuousdividends AT hsujoan gǔlìfāfàngxiàduōzīchǎncǎihóngxiànghòukànxuǎnzéquánzhīdìngjià AT xúruòān gǔlìfāfàngxiàduōzīchǎncǎihóngxiànghòukànxuǎnzéquánzhīdìngjià AT hsujoan pricingofmultipleassetsrainbowlookbackoptionswithcontinuousdividends AT xúruòān pricingofmultipleassetsrainbowlookbackoptionswithcontinuousdividends
_version_	1717778471986397184

The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends

Similar Items