https://scholars.lib.ntu.edu.tw/handle/123456789/414511
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Chung S.-L. | en_US |
dc.contributor.author | Shackleton M. | en_US |
dc.creator | Shackleton M.;Chung S.-L. | - |
dc.date.accessioned | 2019-07-22T08:42:20Z | - |
dc.date.available | 2019-07-22T08:42:20Z | - |
dc.date.issued | 2005 | - |
dc.identifier.issn | 02707314 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414511 | - |
dc.description.abstract | This article discusses convergence problems when calculating Vega (option sensitivity to volatility) that arise from discretization errors embedded in the lattice approach. Four alternative improvements to the traditional binomial method are discussed and investigated for performance. We also propose a new Modified Binomial (MB) Method to calculate Vegas. Numerical results show that although the MB is not the most price accurate of the models, due to its error structure as a function of volatility, it produces the most accurate and fastest Vega estimates. ? 2005 Wiley Periodicals, Inc. | - |
dc.language | English | - |
dc.relation.ispartof | Journal of Futures Markets | - |
dc.title | On the errors and comparison of vega estimation methods | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1002/fut.20127 | - |
dc.identifier.scopus | 2-s2.0-10244239377 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-10244239377&doi=10.1002%2ffut.20127&partnerID=40&md5=a2a27f2f3c2ccf9f29e58941f853efba | - |
dc.relation.pages | 21-38 | - |
dc.relation.journalvolume | 25 | - |
dc.relation.journalissue | 1 | - |
item.openairetype | journal article | - |
item.fulltext | no fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.grantfulltext | none | - |
item.cerifentitytype | Publications | - |
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 |
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。