https://scholars.lib.ntu.edu.tw/handle/123456789/414524
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | 繆維中 | en_US |
dc.contributor.author | 張森林 | en_US |
dc.contributor.author | 李永新 | en_US |
dc.creator | 李永新;張森林;繆維中 | - |
dc.date.accessioned | 2019-07-22T09:21:57Z | - |
dc.date.available | 2019-07-22T09:21:57Z | - |
dc.date.issued | 2014 | - |
dc.identifier.issn | 24108146 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414524 | - |
dc.description.abstract | This paper discusses the sufficient condition under which the American power call options should never be early exercised. Unlike in the vanilla case where the dividend yield q = 0 is the only condition, for American power call options there actually exists a range of q such that early exercise is never optimal. We start with deriving the general (model free) condition on q for American power call options with power sufficient n > 1 or n < 0. For specific models, we provide alternative conditions which lead to a wider range of q and applicable to any n. When q does not satisfy these conditions, we also give the analytical upper bounds for the American power call prices. These analytical formulas are derived for the fundamental Black-Scholes model as well as two jump-diffusion models and the variance gamma model, with numerical examples given to demonstrate their validity.本文討論美式冪次買權永不提前履約的充份條件。在美式標準買權下,股利率q = 0是其不提前履約的唯一條件,但對美式冪次買權而言,則存在一個特定範圍的股利率q使得提前履約恆為非最佳。本文首先推導出不限定模型下,使其不提前履約的股利率q之一般化條件,可適用於冪次係數n > 1或n < 0的情形。針對某些特定模型,此股利率q的條件可再放寬且適用於任意的冪次係數n。當股利率q不滿足此不提前履約條件時,本文亦推導出若干模型下美式冪次買權價格的解析上界公式,包含基本的Black-Scholes模型,兩種跳躍擴散模型,以及variance gamma模型,並提供數值範例以驗證以上解析公式的有效性。 | - |
dc.relation.ispartof | 期貨與選擇權學刊 | - |
dc.subject | 美式選擇權 | - |
dc.subject | 提早履約 | - |
dc.subject | 解析上界 | - |
dc.subject | 冪次買權 | - |
dc.subject | American Options | - |
dc.subject | Analytical Upper Bounds | - |
dc.subject | Early Exercise | - |
dc.subject | Power Call Options | - |
dc.title | The Never-Early-Exercise Condition and Analytical Price Upper Bounds of American Power Call Options | en_US |
dc.type | journal article | en |
dc.relation.pages | 1-24 | - |
dc.relation.journalvolume | 7 | - |
dc.relation.journalissue | 3 | - |
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 |
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