| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === Because the system events occurs frequently in the finance market, our study attempts to build a new option pricing model including the risk of price movement to increase correction of pricing option. Many studies focus on pricing option by Monte Carlo and trinomial tree, in this study we using tree model with multiple joint normal distribution to build option pricing model. To compare our model with traditional trees model, this new model provide the price path more widely, also can expect to speed model convergence. We assumed that all price in the tree node following normal distribution, and without consideration of the jump event. According to the simulation results, the model considerate the risk of price movement can speed the convergence and pricing option more effectively.
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