價差選擇權及一籃子選擇權之定價、避險及應用：Johnson Distribution Faimly;Pricing, Hedging and Applications of Spread and Basket Options with the Johnson Distribution Family

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/62020

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Title:	價差選擇權及一籃子選擇權之定價、避險及應用：Johnson Distribution Faimly;Pricing, Hedging and Applications of Spread and Basket Options with the Johnson Distribution Family
Authors:	吳庭斌
Contributors:	國立中央大學財務金融學系
Keywords:	管理科學
Date:	2014-03-11
Issue Date:	2014-03-11 14:42:50 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	研究期間：10308~10407;The first year of the research proposal unites the definition of spread options and basket options, named as the general basket options, and then adopt the Johnson distribution family (1949) to approximate the probability distribution of the general basket of multiple assets. With the approximate probability distribution, the pricing formula of the general basket option and its Greek letters are derived. The resulting pricing model can price both of the spread options and basket options and can integrate their risks, which facilitates financial institutions to compute the consistent prices and manage risks of the both options. Based on the approximation method, the second year of the research proposal intends to derive the pricing formulas of three types of interest rate spread options, namely, LIBOR vs. LIBOR; LIBOR vs. CMS; CMS vs. CMS. We will provide some numerical examples to examine the accuracy of the formulas by using Monte Carlo simulation. The risk management of the three type interest rate spread options are also studied.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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