Alghalith 美式選擇權定價公式評估

Abstract

選擇權定價利用數學模型來評估在未來某個時間點或期間內買賣標的資產的權利的合理市場價值。Black-Scholes模型為歐式選擇權提供了一個簡單、計算高效的封閉解公式。對較為複雜的美式選擇權，在2020年Alghalith為美式選擇權導出了一個簡單的公式解。本文將分析、檢驗該公式解於理論上的定價效果，並加以微幅修正。Option pricing uses mathematical models to assess the fair market value of the right to buy or sell the underlying asset at a certain time or period in the future. The Black-Scholes model provides simple and computationally efficient closed-form formulas for European options. For more complex American options, Alghalith (2020) derives a simple closed-form formula for puts. This thesis analyzes the pricing accuracy of this formula and that of a revised version.