The Valuation of Rainbow Trend Options
碩士 === 臺灣大學 === 國際企業學研究所 === 98 === This thesis provides a closed-form formula for the rainbow trend options by using the Martingale pricing method. The main contribution of this thesis is to propose a general pricing formula which can be applied to price various kinds of rainbow weighted aver-age o...
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/94856482349357516215 |
| Summary: | 碩士 === 臺灣大學 === 國際企業學研究所 === 98 === This thesis provides a closed-form formula for the rainbow trend options by using the Martingale pricing method. The main contribution of this thesis is to propose a general pricing formula which can be applied to price various kinds of rainbow weighted aver-age options. The trend option is a new exotic option mentioned in Leippold and Syz (2007); its payoff is based on the trend of the realized underlying sampled prices over a specific period such that it has the superiority in avoiding the timing risk. And rainbow options have a known effect on non-system risk diversification. The attractiveness to combine the two features is to satisfy the need of investors for avoiding the timing risk and enjoying the diversification effect simultaneously. Moreover, the remarkable feature that the delta of the rainbow trend option tends to zero at maturity in some special cases is found in this paper.
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