A Comparsion of Numerical Pricing Mthods for Average Options

• Main Authors: Earl Lee, 李宜熹
• Other Authors: Ming-hua Hsieh
• Format: Others
• Language: en_US
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/07902251972441137229

碩士 === 國立中山大學 === 財務管理學系研究所 === 91 === In this thesis, we survey some popular pricing methods of average options. They can be classified into three cateogries include approximation, Monte Carlo, and binomial tree approaches. We examine the accuracy of these methods by two cases, exchange rate and stock price. Numerical testing results show the accuracy of approximation and binomial tree are not stable. For the big-size feature of average option, their outputs are doubtful and damaging in pactice. Despite this, they are still valuable. This is because they own the other advantages. For example, the approximation approach can give us a quick formlas to calculate the Greek, and the binomial tree approach can price the American style options.