演講公告 91年5月28日 (星期二)

摘要

For a wide class of models, this paper develops a Laplace transform based method for the pricing of discretely monitored barrier and lookback options. The approach is appealing for its simplicity and its potential application assuming diverse stock price models. Furthermore, the same methodology can be used to find closed form expressions for the greeks of these products. We provide a numerical analysis by inverting the Fourier transforms for the pure diffusion and Merton's jump-diffusion case. We compare our results with Monte Carlo simulation and lattice methods and find the proposed method to be highly accurate and efficient.