In the first part of this article, we discuss the time and the probability for the barrier option to become effective, and then employ the risk neutral assumption to derive the pricing formula of the barrier option. Our pricing formula is a closed form solution, and we may calculate the price of the barrier option without considering the Binomial tree of the underlying asset. We also calculate the traditional option price by our pricing formula, and compare the result to the value that is calculated by Binomial pricing formula. Both of them give the same value about the tradition option, and thus we may regard the tradition option as the special case of the barrier option. In the second part of this article, we employ the pricing formula of the barrier to derive the value of the National Finance Stabilization Fund, and then analyze the impact of the NFSF to the market. Our results reveal that when the benchmark market is not shifted by the bad news, then the NFSF may advance and stabilize the stock price index. In fact, many new style derivatives have the characteristics like barrier option, for example, a convertible bond with forced convert clause, which is a up-and-out call. Other course like bankruptcy costs, agency problems, and contingent liabilities etc, which can all be solved by the pricing formula in our discussion. We hope that results and the process in this article are helpful in solving above questions.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0807106-162204 |
| Date | 07 August 2006 |
| Creators | Chan, Chieh-chung |
| Contributors | Hsiou-jen Kuo, Yu-juan Huang, Yih Jeng, Szu-long Liao, Tai Ma |
| 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-0807106-162204 |
| Rights | unrestricted, Copyright information available at source archive |
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