https://scholars.lib.ntu.edu.tw/handle/123456789/414516
標題: | The Accuracy and Efficiency of Alternative Option Pricing Approaches Relative to a Log-Transformed Trinomial Model | 作者: | Chen H.-C. Chen D.M. Chung S.-L. |
公開日期: | 2002 | 卷: | 22 | 期: | 6 | 起(迄)頁: | 557-577 | 來源出版物: | Journal of Futures Markets | 摘要: | This article presents a log-transformed trinomial approach to option pricing and finds that various numerical procedures in the option pricing literature are embedded in this approach with choices of different parameters. The unified view also facilitates comparisons of computational efficiency among numerous lattice approaches and explicit finite difference methods, We use the root-mean-squared relative error and the minimum convergence step to evaluate the accuracy and efficiency for alternative option pricing approaches. The numerical results show that the equal-probability trinomial specification of He (1990) and Tian (1993) and the sharpened trinomial specification of Omberg (1988) outperform other lattice approaches and explicit finite difference methods. ? 2002 Wiley Periodicals, Inc. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414516 | ISSN: | 02707314 | DOI: | 10.1002/fut.10023 |
顯示於: | 財務金融學系 |
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