Under path dependent consideration, we discuss vulnerable option pricing problem. Two pricing
models are proposed: Model(1) use stepwise regression and Monte Carlo simulation, and Model(2) is based on
multi-level regression method. Since the option price was approximated by quadratic surface at each time point
in Model(1), large mean square errors are induced. Therefore, we further propose a stepwise subset regression
method to improve Model(1) approach. At present, this proposed method can compute the option price accurately
for no credit risk options. For Model(2), we utilize a multi-level regression method to price vulnerable
options, and simulation results show that the method can also obtain accurate option prices.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0706105-162110 |
| Date | 06 July 2005 |
| Creators | Tsai, Ru-mei |
| Contributors | Fu-Chuen Chang, Mong-na Lo Huang, Mei-hui Guo |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0706105-162110 |
| Rights | withheld, Copyright information available at source archive |
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