Pricing of Barrier Option ─ Using GARCH Option Pricing Model

碩士 === 世新大學 === 財務金融學系 === 92 === Warrant is a kind of option. The call warrant have been sold in Taiwan in 1997. We also trade stock option after January 1st.2003. Because of trading option, we can expect that exotic option will be an important product in the market of Taiwan. Generally...

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Main Authors:	Yun Wen, Chen, 陳韻文
Other Authors:	Su-In, Liu, Ph.D.
Format:	Others
Language:	zh-TW
Published:	2004
Online Access:	http://ndltd.ncl.edu.tw/handle/05072525095887761139

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spelling	ndltd-TW-092SHU003040052016-06-15T04:17:27Z http://ndltd.ncl.edu.tw/handle/05072525095887761139 Pricing of Barrier Option ─ Using GARCH Option Pricing Model 界限型選擇權之評價─GARCH選擇權評價模型 Yun Wen, Chen 陳韻文碩士世新大學財務金融學系 92 Warrant is a kind of option. The call warrant have been sold in Taiwan in 1997. We also trade stock option after January 1st.2003. Because of trading option, we can expect that exotic option will be an important product in the market of Taiwan. Generally speaking, the way to pricing option are Black-Scholes model and numerical analysis. There are many different kinds of numerical analysis. For example, there are Binomial model and Monte Carlo Simulation. This thesis will pricing up-barrier warrant by using the trinomial GARCH model which creating by Ritchken & Trevor（1999）. Besides, this thesis will also compare the result which be calculated by Black-Scholes model, Binomial model, and Trinomial model. Su-In, Liu, Ph.D. 劉淑鶯 2004 學位論文 ; thesis 45 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 世新大學 === 財務金融學系 === 92 === Warrant is a kind of option. The call warrant have been sold in Taiwan in 1997. We also trade stock option after January 1st.2003. Because of trading option, we can expect that exotic option will be an important product in the market of Taiwan. Generally speaking, the way to pricing option are Black-Scholes model and numerical analysis. There are many different kinds of numerical analysis. For example, there are Binomial model and Monte Carlo Simulation. This thesis will pricing up-barrier warrant by using the trinomial GARCH model which creating by Ritchken & Trevor（1999）. Besides, this thesis will also compare the result which be calculated by Black-Scholes model, Binomial model, and Trinomial model.
author2	Su-In, Liu, Ph.D.
author_facet	Su-In, Liu, Ph.D. Yun Wen, Chen 陳韻文
author	Yun Wen, Chen 陳韻文
spellingShingle	Yun Wen, Chen 陳韻文 Pricing of Barrier Option ─ Using GARCH Option Pricing Model
author_sort	Yun Wen, Chen
title	Pricing of Barrier Option ─ Using GARCH Option Pricing Model
title_short	Pricing of Barrier Option ─ Using GARCH Option Pricing Model
title_full	Pricing of Barrier Option ─ Using GARCH Option Pricing Model
title_fullStr	Pricing of Barrier Option ─ Using GARCH Option Pricing Model
title_full_unstemmed	Pricing of Barrier Option ─ Using GARCH Option Pricing Model
title_sort	pricing of barrier option ─ using garch option pricing model
publishDate	2004
url	http://ndltd.ncl.edu.tw/handle/05072525095887761139
work_keys_str_mv	AT yunwenchen pricingofbarrieroptionusinggarchoptionpricingmodel AT chényùnwén pricingofbarrieroptionusinggarchoptionpricingmodel AT yunwenchen jièxiànxíngxuǎnzéquánzhīpíngjiàgarchxuǎnzéquánpíngjiàmóxíng AT chényùnwén jièxiànxíngxuǎnzéquánzhīpíngjiàgarchxuǎnzéquánpíngjiàmóxíng
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Pricing of Barrier Option ─ Using GARCH Option Pricing Model

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