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• Main Authors: Po-Chou Chen, 陳柏州
• Other Authors: Ming-Long Wang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/41815613669317321798

碩士 === 國立成功大學 === 財務金融研究所 === 91 === This study examines the valuation of multi-asset discrete barrier option by using recursive integral method and concept of jumping over the barrier price. An accurate solution for the PDE (Partial Differential Equation) requires a fine mesh near the discrete barriers, but when discrete barriers are applied to multiple assets, an accurate solution can barely be achieved with finite difference method and produce “barrier-too-close” problem easily. When the parabolic PDE is transformed into a Linear Homogeneous Equation, the integral method is a highly efficient method for finding an accurate numerical solution for the PDE. Beside, the recursive integral method and concept of jumping over barrier price not only solve the “barrier-too-close” problem, but also save the computational time. Furthermore, when free boundary constraints are introduced into the specifications of discrete barrier option, the integral method can be extended into the B.E.M (Boundary Element Method) for finding an extremely accurate solution for it. Finally, the method is used to value the (up and out) two-asset discrete barrier option, and sensitive analysis for parameters is presented.