https://scholars.lib.ntu.edu.tw/handle/123456789/414507
Title: | Option pricing for the transformed-binomial class | Authors: | C?mara A. Chung S.-L. |
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. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414507 | ISSN: | 02707314 | DOI: | 10.1002/fut.20218 |
Appears in Collections: | 財務金融學系 |
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