https://scholars.lib.ntu.edu.tw/handle/123456789/414503
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Chang C.-C. | en_US |
dc.contributor.author | Chung S.-L. | en_US |
dc.contributor.author | Stapleton R.C. | en_US |
dc.creator | Stapleton R.C.;Chung S.-L.;Chang C.-C. | - |
dc.date.accessioned | 2019-07-22T08:42:18Z | - |
dc.date.available | 2019-07-22T08:42:18Z | - |
dc.date.issued | 2007 | - |
dc.identifier.issn | 02707314 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414503 | - |
dc.description.abstract | In this article, the authors reexamine the American-style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American options whose exercise boundary is discontinuous) encountered in the original Geske-Johnson methodology. Furthermore, they propose a numerical method, the Repeated-Richardson extrapolation, which allows the estimation of the interval of true option values and the determination of the number of options needed for an approximation to achieve a given desired accuracy. Using simulation results, our modified Geske-Johnson formula is shown to be more accurate than the original Geske-Johnson formula for pricing American options, especially for nonstandard American options. This study also illustrates that the Repeated-Richardson extrapolation approach can estimate the interval of true American option values extremely well. Finally, the authors investigate the possibility of combining the binomial Black-Scholes method proposed by M. Broadie and J.B. Detemple (1996) with the Repeated-Richardson extrapolation technique. ? 2007 Wiley Periodicals, Inc. | - |
dc.language | English | - |
dc.relation.ispartof | Journal of Futures Markets | - |
dc.title | Richardson extrapolation techniques for the pricing of American-style options | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1002/fut.20272 | - |
dc.identifier.scopus | 2-s2.0-34547263607 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-34547263607&doi=10.1002%2ffut.20272&partnerID=40&md5=4217cc6e2c1b12679622112f2e89dd39 | - |
dc.relation.pages | 791-817 | - |
dc.relation.journalvolume | 27 | - |
dc.relation.journalissue | 8 | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | FinTech Center | - |
crisitem.author.orcid | 0000-0002-8168-4816 | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | Others: University-Level Research Centers | - |
顯示於: | 財務金融學系 |
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