https://scholars.lib.ntu.edu.tw/handle/123456789/414475
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Mi-Hsiu Chiang | en_US |
dc.contributor.author | Hsin-Hao Fu | en_US |
dc.contributor.author | Yi-Ta Huang | en_US |
dc.contributor.author | Chien-Ling Lo | en_US |
dc.contributor.author | PAI-TA SHIH | en_US |
dc.creator | PAI-TA SHIH;Mi-Hsiu Chiang;Chien-Ling Lo;Yi-Ta Huang;Hsin-Hao Fu | - |
dc.date.accessioned | 2019-07-22T07:57:39Z | - |
dc.date.available | 2019-07-22T07:57:39Z | - |
dc.date.issued | 2018-09 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414475 | - |
dc.description.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). | en_US |
dc.language.iso | en | en_US |
dc.relation.ispartof | 財務金融學刊 | en_US |
dc.title | Analytical Approximations for American Options: The Binary Power Option Approach | en_US |
dc.title.alternative | 美式選擇權之解析近似:二元乘冪選擇權法 | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.6545/JFS.201809_26(3).0003 | - |
dc.relation.pages | 91 | en_US |
dc.relation.journalvolume | 26 | en_US |
dc.relation.journalissue | 3 | en_US |
dc.relation.pageend | 116 | en_US |
item.languageiso639-1 | en | - |
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.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。