https://scholars.lib.ntu.edu.tw/handle/123456789/414507| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | C?mara A. | en-US |
| dc.contributor.author | Chung S.-L. | en-US |
| dc.creator | Chung S.-L.;C?mara A. | - |
| dc.date.accessioned | 2019-07-22T08:42:19Z | - |
| dc.date.available | 2019-07-22T08:42:19Z | - |
| dc.date.issued | 2006 | - |
| dc.identifier.issn | 02707314 | - |
| dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414507 | - |
| dc.description.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. | - |
| dc.language | English | - |
| dc.relation.ispartof | Journal of Futures Markets | - |
| dc.title | Option pricing for the transformed-binomial class | en_US |
| dc.type | journal article | - |
| dc.identifier.doi | 10.1002/fut.20218 | - |
| dc.identifier.scopus | 2-s2.0-33746208837 | - |
| dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-33746208837&doi=10.1002%2ffut.20218&partnerID=40&md5=7e7889443161cee1c91a2449a082ffe3 | - |
| dc.relation.pages | 759-787 | - |
| dc.relation.journalvolume | 26 | - |
| dc.relation.journalissue | 8 | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
| item.cerifentitytype | Publications | - |
| item.fulltext | no fulltext | - |
| item.grantfulltext | none | - |
| item.openairetype | journal article | - |
| 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 | Research Center | - |
| Appears in Collections: | 財務金融學系 | |
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