In the literature, many methods are proposed to value American options. However, due to computational difficulty, there are only approximate solution or numerical method to evaluate American options. It is not easy for general investors either to understand nor to apply.
In this thesis, we build up an option pricing and virtual asset model system, which provides a friendly environment for general public to calculate early exercise boundary of an American option. This system modularize the well-handled pricing models to provide the investors an easy way to value American options without learning difficult financial theories. The system consists two parts: the first one is an option pricing system, the other one is an asset model simulation system. The option pricing system provides various option pricing methods to the users; the virtual asset model system generates virtual asset prices for different underlying models.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0707105-182950 |
| Date | 07 July 2005 |
| Creators | Cheng, Te-hung |
| Contributors | Mei-Hui Guo, Fu-Chuen Chang, Mong-Na Lo Huang |
| 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-0707105-182950 |
| Rights | withheld, Copyright information available at source archive |
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