Barrier option pricing in interpolated implied volatility models
碩士 === 國立中正大學 === 數學所 === 94 === Black-Scholes’formula, a popular financial model. C=SN(d1)-e^{-rt}KN(d2) Since we can get C,S,K,r,t from option market. We can determine the implied volatility. Then use Ito process dS=uSdt+sigmaSdB We can simulate the sample path of asset price. Final, we consider t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58330548140299088323 |
| Summary: | 碩士 === 國立中正大學 === 數學所 === 94 === Black-Scholes’formula, a popular financial model.
C=SN(d1)-e^{-rt}KN(d2)
Since we can get C,S,K,r,t from option market. We can determine the implied volatility.
Then use Ito process dS=uSdt+sigmaSdB
We can simulate the sample path of asset price. Final, we consider the Barrier option pricing.
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