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Title

股利發放下多資產彩虹向後看選擇權之定價

The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends

Creator

徐若安Hsu Joan

Description

[[abstract]]本研究於B-S評價模型假設之下,加入股利因素的考量,擴展Johnson (1987)多資產彩虹選擇權與Conze and Viswanathan (1991)向後看選擇權報償型態之特性,建構出股利發放下多資產彩虹標準向後看與最大保險選擇權封閉解評價公式,其報償型態取決於各標的資產存續期間最高或最低價格。並推導出多資產美式向後看買權價值上下限。 關鍵字:多資產選擇權、彩虹選擇權、標準向後看選擇權、最大保險選 擇權、封閉解

[[abstract]]This study extended the results of lookback options to the pricing of options on the minimum or the maximum of multiple assets under assumptions of B-S pricing models. We derived the closed-form formulas of multiple assets rainbow standard lookback and extrema options with continuous dividends. To validate the accuracy of these formulas, we offered simulation results on call to compare with the result of Johnson. Keywords: Multiple Assets Option, Rainbow Option, Standard Lookback Options, Option on Extrema, Closed-fo

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