In this thesis, we survey some popular pricing methods of average options. They
can be classified into three cateogries include approximation, Monte Carlo, and
binomial tree approaches. We examine the accuracy of these methods by two cases,
exchange rate and stock price.
Numerical testing results show the accuracy of approximation and binomial tree are
not stable. For the big-size feature of average option, their outputs are doubtful and
damaging in pactice. Despite this, they are still valuable. This is because they own the
other advantages. For example, the approximation approach can give us a quick
formlas to calculate the Greek, and the binomial tree approach can price the American
style options.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0829103-152450 |
| Date | 29 August 2003 |
| Creators | Lee, Earl |
| Contributors | Ming-hua Hsieh, Eric Wu, David S. Shyu, Yih Jeng |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0829103-152450 |
| Rights | campus_withheld, Copyright information available at source archive |
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