Flexible Multilayer Lattice Model for Options Pricing and Risk Measurement

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Project title

Code/計畫編號

NSC101-2218-E019-006-MY2

Translated Name/計畫中文名

多層次晶格演算法於選擇權計算與風險評量

Project Coordinator/計畫主持人

William Wei-Yuan Hsu

Funding Organization/主管機關

National Science and Technology Council

Co-Investigator(s)/共同執行人

何建明

Department/Unit

Department of Computer Science and Engineering

Website

https://www.grb.gov.tw/search/planDetail?id=2852201

Year

2013

Start date/計畫起

01-08-2013

Expected Completion/計畫迄

31-07-2014

Bugetid/研究經費

307千元

ResearchField/研究領域

資訊工程--硬體工程

在 2007-2009 年中,世界規模的金融海嘯使銀行和金融機構蒙受了巨大損失。金融海嘯突顯出金融體系中商品評價及風險測量的重要性，其關鍵是在效率與彈性中取得平衡。對此，國際金融監管體系已經修訂和發展日益嚴格的法規，包括Basel II，IFRS，Solvency II 等，藉以提高金融機構的透明度，並確保其健全運作。金融海嘯的成因包含許多政治和商業因素，我們將焦點放在以下幾項風險管理技術相關議題上。首先，利用以往模型對金融機構、公司和投資組合的信用評等不能確切反映實際情形。第二，投資組合的價值在金融海嘯時期嚴重被錯估，這代表現有的定價模式仍有部分問題存在。第三，當考慮更多的投資資產及變數會增加大量的計算量。在這計畫當中，我們想發展多層次晶格模型(MLL)來評價與測量選擇權之風險。Value-at-risk (VAR)是由J.P. Morgan所提出的一個風險測量，而與VaR相關的一個測量則是尾端期望值(TCE)。我們已經證實了將二元晶格模型(Binomial Lattice Model)注入傾斜的能力使其更具彈性而能讓格點落在任意的特定位子上，可以讓測量TCE的速度增加與準確度大幅提升。我們將研究如何讓MLL也具有此可傾斜的特性，使其能準確的平價與測量奇異選擇權(Exotic Options)，如亞式障礙選擇權與結構型債卷等的風險。我們也將研究具多重標的物的選擇權；此款選擇權需考慮各標的物之間的相關系數。我們預期真對多重標的物而發展出來的MLL將是一個多維度空間的多層次晶格模型。針對複雜的奇異選擇權如亞式障礙選擇權與結構型債卷，我們將使用蒙地卡羅(Monte Carlo)模擬法來驗證結果。真對MLL可以更快以及更準確的評價與測量風險，我們亦需提出完整的證明來。最後可以將完整的模型部署在中研院資訊所，電腦系統與通訊實驗室的雲端財務系統上。 During the world economic crises in 2007-2009, banks and financial institutions around the world have suffered huge losses. It highlights the importance of option pricing and risk measuring in balancing efficiency and resilience in the financial system. The international financial supervision systems have revised and developed increasingly rigorous regulations, including Basel II, International Financial Reporting Standard (IFRS), Solvency II, etc., to improve soundness and transparency of operations of financial institutions. In this project, we focus on developing a flexible multi-layer lattice model (MLL) to price options and measure the risks of options. A widely used risk measure published by J.P.~Morgan is the value-at-risk (VaR) and a coherent risk measure and is closely related to conditional VaR is the tail conditional expectation (TCE). We show that it is possible to measure TCE fast and accurately by adding flexibility to the binomial lattice which enables it to match exact spots by tilting. Research will be conducted to incorporate this capability to MLL, which will enable us to price and accurately measure the TCEs of exotic options such as Asian options, barrier options, Asian barrier options, and structure notes. Following the completion of adding flexibility to the MLL, we will focus on multi-underlying options. This type of option will have a correlation parameter between each underlying. We expect the MLL for this type of option will become a multidimensional lattice structure. For complex exotic options such as Asian barrier options and structure notes, we will use Monte Carlo simulation to verify the results. We are to provide proofs that our MLL is fast and accurate. Upon completion, MLL can be deployed onto the financial cloud service at the Computer Systems and Communication Lab, Institute of Information Science, Academic Sinica.

Keyword(s)

晶格演算法
多層次晶格
選擇權評價
奇異選擇權
風險測量
尾端期望值
Lattice Algorithms
Multi Layer Lattice
Options Pricing
Exotic Options
Risk Measurement
Tail Conditional Expectation

DSpace CRIS

Flexible Multilayer Lattice Model for Options Pricing and Risk Measurement

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