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논문 기본 정보
- 자료유형
- 학술저널
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- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.15 No.1
- 발행연도
- 2011.3
- 수록면
- 1 - 17 (17page)
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초록· 키워드
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A new method for option pricing based on the trinomial tree method is introduced. The new method calculates the local average of option prices around a node at each time, instead of computing prices at each node of the trinomial tree. Local averaging has a smoothing effect to reduce oscillations of the tree method and to speed up the convergence. The option price and the hedging parameters are then obtained by the compact scheme and the Richardson extrapolation. Computational results for the valuation of European and American vanilla and barrier options show superiority of the proposed scheme to several existing tree methods.
목차
ABSTRACT
1. INTRODUCTION
2. TRINOMIAL TREE METHOD
3. MODIFIED TRINOMIAL TREE METHOD
4. NUMERICAL COMPUTATIONS
5. CONCLUSIONS
6. APPENDIX
ACKNOWLEDGMENTS
REFERENCES
참고문헌 (20)
참고문헌 신청
T. Achdou / 2005 / Computational methods for option pricing / SIAM Philadelphia
P. Boyle / 1988 / A lattice framework for option pricing with two state variables / Journal of Financial and Quantitative Analysis 23(1):1~12
P. Boyle / 1989 / Numerical evaluation of multivariate contingent claims / The Review of Financial Studies 2(2):241~250
P. Boyle / 1994 / Bumping up against the barrier with the binomial method / Journal of Derivatives 1:6~14
M. Broadie / 1996 / American option valuation: new bounds, approximations, and a comparison of existing methods / Review of Financial Studies 9:1211~1250
P. Boyle / 1988 / A lattice framework for option pricing with two state variables / Journal of Financial and Quantitative Analysis 23(1):1~12
P. Boyle / 1989 / Numerical evaluation of multivariate contingent claims / The Review of Financial Studies 2(2):241~250
P. Boyle / 1994 / Bumping up against the barrier with the binomial method / Journal of Derivatives 1:6~14
M. Broadie / 1996 / American option valuation: new bounds, approximations, and a comparison of existing methods / Review of Financial Studies 9:1211~1250
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UCI(KEPA) : I410-ECN-0101-2012-410-004224076