|Title:||Option pricing for the transformed-binomial class||Authors:||C?mara A.
|Issue Date:||2006||Journal Volume:||26||Journal Issue:||8||Start page/Pages:||759-787||Source:||Journal of Futures Markets||Abstract:||
This article generalizes the seminal Cox-Ross-Rubinstein (1979) binomial option pricing model to all members of the class of transformed-binomial pricing processes. The investigation addresses issues related with asset pricing modeling, hedging strategies, and option pricing. Formulas are derived for (a) replicating or hedging portfolios, (b) risk-neutral transformed-binomial probabilities, (c) limiting transformed-normal distributions, and (d) the value of contingent claims, including limiting analytical option pricing equations. The properties of the transformed-binomial class of asset pricing processes are also studied. The results of the article are illustrated with several examples. ? 2006 Wiley Periodicals, Inc.
|Appears in Collections:||財務金融學系|
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