Pricing shout options with stochastic volatility

• Main Authors: Chun-Chia Ho, 何春佳
• Other Authors: Lung-Fu Chang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/22032378192902606199

碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 101 === Shout options are European options that the buyer can decide when executing options before maturity. We take the put option as an example, at the end of the life of the option, the buyer receives either the usual payoff from a European option, that the strike price minus the stock price at maturity, or the intrinsic value at the time of the shout, the strike price minus the stock price at shout, whichever is greater. In other words, the buyer could have the right to exercise options before maturity. This work uses Monte Carlo simulation approach with stochastic volatility and the jump process to simulate put option prices. At the same time, we analyze its characteristics of sensibility parameters. We can find put option has positive correlations with initial volatility, average volatility, and intensity.