兩段迴歸結合蒙地卡羅模擬對可轉債定價之研究 - 政大學術集成

Biases in Pricing Continuously Monitored Options with Monte Carlo (continued).. • If all of the sampled prices are below the barrier, this sample path pays max(S(t n ) −

• But Monte Carlo simulation can be modified to price American options with small biases (pp..

Biases in Pricing Continuously Monitored Options with Monte Carlo (continued).. • If all of the sampled prices are below the barrier, this sample path pays max(S(t n ) −

一、研究動機 二、資料來源 三、模型建立 四、模擬預測 五、研究結果

• But Monte Carlo simulation can be modified to price American options with small biases..

Biases in Pricing Continuously Monitored Options with Monte Carlo (continued).. • If all of the sampled prices are below the barrier, this sample path pays max(S(t n ) −

Biases in Pricing Continuously Monitored Options with Monte Carlo (continued). • If all of the sampled prices are below the barrier, this sample path pays max(S(t n ) −

Biases in Pricing Continuously Monitored Options with Monte Carlo (continued).. • If all of the sampled prices are below the barrier, this sample path pays max(S(t n ) −