https://scholars.lib.ntu.edu.tw/handle/123456789/117057
Title: | On Accurate Trinomial GARCH Option Pricing Algorithms | Authors: | Lyuu, Yuh-Dauh Liu, Chun-Yang |
Keywords: | GARCH model;trinomial tree;option pricing;cubic interpola-tion | Issue Date: | 2005 | Publisher: | 臺北市:國立臺灣大學資訊工程學系 | Abstract: | The GARCH model has been successful in describing the volatility dynamics of asset return series. However, tree-based GARCH option pricing algorithms su®er from exponential running time, inaccuracy, or other problems. Lyuu & Wu proved that the trinomial-tree option pricing algorithms of Ritchken & Trevor (1999) & Cakici & Topyan (2000) explode exponentially when the number of partitions per day, n, exceeds a threshold determined by the GARCH parameters. The improved algorithm of Lyuu & Wu (2003) still contains some problems. For example, the option prices su®er a trend to deviate from true values as n increases. This thesis proposes a new method- ology to further improve the Lyuu-Wu algorithm by addressing this problem. We will confirm our algorithm's e±ciency & accuracy with numerical experiments. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/20060927122853632213 | Other Identifiers: | 20060927122853632213 |
Appears in Collections: | 資訊工程學系 |
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thesis_r92922123.pdf | 230.78 kB | Adobe PDF | View/Open |
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