The Algorithms for Valuing American Style Multivariate Contingent Claims: Applications for ESO and other Derivatives
博士 === 國立中央大學 === 財務金融研究所 === 95 === This dissertation develops three numerical algorithms for pricing European and American multivariate contingent claims. One approach is a multivariate transformed trinomial model. This model is an extension of the Camara and Chung (2006) transformed-binomial mode...
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34873660559407067651 |
| Summary: | 博士 === 國立中央大學 === 財務金融研究所 === 95 === This dissertation develops three numerical algorithms for pricing European and American multivariate contingent claims. One approach is a multivariate transformed trinomial model. This model is an extension of the Camara and Chung (2006) transformed-binomial model with one underlying asset and a discrete-time version of Schoder (2004) model for pricing European-style options. However, unlike Schoder’s model, our model can easily handle American-style multivariate contingent claims. Another one is the Markov Chain approach provided by Duan and Simonato’s (2001). The other approach is an extended Markov Chain approach which takes Sobol sequences into Duan and Simonato’s (2001) Markov Chain model to accelerate convergence speed. We use numerical examples to show how to use these three methods to value various types of multivariate contingent claims, such as digital options and Executive Stock Option (ESO) and Weather Derivatives.
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