Title page for etd-0919107-133727


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URN etd-0919107-133727
Author Hua-chin Shao
Author's Email Address No Public.
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Department Applied Mathematics
Year 2006
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Valuation and hedging of Himalaya option
Date of Defense 2007-07-30
Page Count 39
Keyword
  • Option hedging
  • Option Pricing
  • Himalaya Options
  • Mountain Range Options
  • Abstract The first option has been publicly traded for more than 30 years. With the progress of time, despite the European option is still the exchange-traded option. But evolved through the years, the European option has not meet people's needs, so exotic option was born. Similarly, the pricing model, from the traditional closed-form solution (under the Black-Scholes assumption), now commonly used binomial trees, finite difference, or by using the Monte Carlo simulation. The main impact of the following factors: the first, with the complexity of the option contract - from single asset to multi-assets, from the plain vanilla option to the path-dependent option, it is more difficult to find the closed-form solution of the option. Second, with the development of personal computers, making numerical computing is no longer a difficult task. It is precisely these two front reason, there will be the birth of this article. Himalaya option is also an exotic options. With the multi-assets and path dependent features, we want to find a closed-form solution is very difficult. Under multi-assets situation, the binomial tree and finite difference will be time-consuming calculation. Therefore, this paper is using Monte Carlo simulation of reasons.
    In this paper, we use Monte Carlo simulation to pricing Himalaya option, which includes several variance reduction techniques used to reduce sample variance. Finally, when pricing completed, we try to do a simple study to option hedging.
    Advisory Committee
  • Mong-Na Lo Haung - chair
  • Fu-Chuen Chang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0919107-133727.pdf
  • indicate in-campus access in a year and off_campus not accessible
    Date of Submission 2007-09-19

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