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  4. Analytical Approximations for American Options: The Binary Power Option Approach
 
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Analytical Approximations for American Options: The Binary Power Option Approach

Other Title
美式選擇權之解析近似:二元乘冪選擇權法
Journal
財務金融學刊
Journal Volume
26
Journal Issue
3
Pages
91
Date Issued
2018-09
Author(s)
Mi-Hsiu Chiang
Hsin-Hao Fu
Yi-Ta Huang
Chien-Ling Lo
PAI-TA SHIH  
DOI
10.6545/JFS.201809_26(3).0003
URI
https://scholars.lib.ntu.edu.tw/handle/123456789/414475
Abstract
This study proposes an innovative approach to value American options. Using a portfolio of binary power options to replicate the early exercise premium, we modify Medvedev and Scaillet (2010) to derive an analytical approximation of American option values under the Black-Scholes framework. Compared with Medvedev and Scaillet (2010), our approach provides a much simpler functional form of the early exercise premium that can be easily extended to high-order series expansions. The numerical results show that the pricing performance of our method is closely comparable to that of Medvedev and Scaillet (2010) and superior to that of Barone-Adesi and Whaley (1987).
Type
journal article

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