https://scholars.lib.ntu.edu.tw/handle/123456789/414518
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Chung S.-L. | en_US |
dc.creator | Chung S.-L. | - |
dc.date.accessioned | 2019-07-22T08:42:21Z | - |
dc.date.available | 2019-07-22T08:42:21Z | - |
dc.date.issued | 2002 | - |
dc.identifier.issn | 00221090 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414518 | - |
dc.description.abstract | This paper values American options on foreign assets in a stochastic interest rate economy using a two-point Geske and Johnson (1984) technique. The method requires the valuation of just two options: a European option and a twice-exercisable option. I first derive the risk-neutral distributions of asset prices under two forward risk-adjusted measures. Closed-form solutions for European options on foreign assets are then obtained by applying these risk-neutral distributions. This article also provides analytic solutions for pricing twice-exercisable options that are at most two-dimensional even though the valuation problem involves four risk factors at two exercise dates. I report the results of numerical evaluations of American option values using my method and show how they vary with the interest rate parameters. I also verify the accuracy of the proposed method by comparing with the benchmark values obtained from the least-square method of Longstaff and Schwartz (2001). | - |
dc.language | English | - |
dc.relation.ispartof | Journal of Financial and Quantitative Analysis | - |
dc.title | Pricing American options on foreign assets in a stochastic interest rate economy | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.2307/3595016 | - |
dc.identifier.scopus | 2-s2.0-0036926746 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036926746&doi=10.2307%2f3595016&partnerID=40&md5=9be7a07e30533eafd1bb92e40dcf4942 | - |
dc.relation.pages | 667-692 | - |
dc.relation.journalvolume | 37 | - |
dc.relation.journalissue | 4 | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
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 |
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