Option pricing using a Multinomial Tree Two Assets

• Main Authors: Lien-yi Lee, 李聯宜
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/49661197408592812401

碩士 === 國立高雄第一科技大學 === 財務管理所 === 95 === As the development of the international finance, option of a multinomial tree two assets has become more and more important. In order to incorporate with the dramatic variation of the market characteristic, option that catches an asset price from the price in the expire range increases the investor’s attention by staying the price in the expire range. The option is made by the maximum and minimum price of the contract alive range and maintaining the option’s price in the inner price of the option. This essay aims to explore in terms of the two assets option. From the multinomial tree (Liao and Wang, 2001), we try to extend the two assets option, with the relevant assets , in order to develop a more simple, precise and effective assessment. Besides, an analysis of the close formula with Option pricing using two assets. We use Johnny (1987) the concept of covariance in two assets options. We can derive Option pricing using a Multinomial tree tow assets. Finally, we can derive some formula that we need in setting up pricing using a multinomial tree.