https://scholars.lib.ntu.edu.tw/handle/123456789/414474
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Chung S.-L. | en_US |
dc.contributor.author | Shih P.-T. | en_US |
dc.creator | Chung S.-L.;Shih P.-T. | - |
dc.date.accessioned | 2019-07-22T07:34:31Z | - |
dc.date.available | 2019-07-22T07:34:31Z | - |
dc.date.issued | 2007 | - |
dc.identifier.issn | 00251909 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414474 | - |
dc.description.abstract | This paper generalizes the seminal Cox-Ross-Rubinstein (CRR) binomial model by adding a stretch parameter. The generalized CRR (GCRR) model allows us to fine-tune (via the stretch parameter) the lattice structure so as to efficiently price a range of options, such as barrier options. Our analysis provides insights into the fine structure of convergence of the general binomial model to the Black-Scholes formula. We also discuss how to improve the rate of convergence or the oscillatory behavior of the GCRR model. The numerical results suggest that the GCRR models with various modifications are efficient for pricing a range of options. ? 2007 INFORMS. | - |
dc.language | English | - |
dc.relation.ispartof | Management Science | - |
dc.subject | Barrier option | - |
dc.subject | Binomial model | - |
dc.subject | Monotonic convergence | - |
dc.subject | Rate of convergence | - |
dc.subject | Smooth convergence | - |
dc.subject | Trinomial model | - |
dc.title | Generalized cox-ross-rubinstein binomial models | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1287/mnsc.1060.0652 | - |
dc.identifier.scopus | 2-s2.0-34247491525 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-34247491525&doi=10.1287%2fmnsc.1060.0652&partnerID=40&md5=fb9c565e8dcfdcc9f5f7c2f69c039c19 | - |
dc.relation.pages | 508-520 | - |
dc.relation.journalvolume | 53 | - |
dc.relation.journalissue | 3 | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | FinTech Center | - |
crisitem.author.dept | Finance | - |
crisitem.author.orcid | 0000-0002-8168-4816 | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | Others: University-Level Research Centers | - |
crisitem.author.parentorg | College of Management | - |
顯示於: | 財務金融學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。