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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems 제10권 제2호
- 발행연도
- 2011.6
- 수록면
- 170 - 177 (8page)
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초록· 키워드
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We present an improved binomial method for pricing financial deriva-tives by using cell averages. After non-overlapping cells are introduced around each node in the binomial tree, the proposed method calculates cell averages of payoffs at expiry and then performs the backward valuation process. The price of the derivative and its hedging parameters such as Greeks on the valuation date are then computed using the compact scheme and Richardson extrapolation. The simulation results for European and American barrier options show that the pro-posed method gives much more accurate price and Greeks than other recent lattice methods with less computational effort.
목차
Abstract
1. INTRODUCTION
2. STANDARD APPROACHES
3. IMPROVED BINOMIAL METHOD
4. SIMULATIONS
5. ACKNOWLEDGEMENTS
6. CONCLUSIONS
REFERENCES
참고문헌 (21)
참고문헌 신청
Amin, K. / 1994 / Convergence of american option values from discrete-to continuous-time financial models / Mathematical Finance 4:289~304
Boyle, P. A. / 1988 / lattice framework for option pricing with two state variables / Journal of Financial and Quantitative Analysis 23(1):1~12
Boyle, P. / 1989 / Numerical evaluation of multivariate contingent claims / The Review of Financial Studies 2(2):241~250
Boyle, P. P. / 1994 / Bumping up against the barrier with the binomial method / Journal of Derivatives 1:6~14
Broadie, M. / 1996 / American option valuation: new bounds, approxi-mations, and a comparison of existing methods / Review of Financial Studies 9:1211~1250
Boyle, P. A. / 1988 / lattice framework for option pricing with two state variables / Journal of Financial and Quantitative Analysis 23(1):1~12
Boyle, P. / 1989 / Numerical evaluation of multivariate contingent claims / The Review of Financial Studies 2(2):241~250
Boyle, P. P. / 1994 / Bumping up against the barrier with the binomial method / Journal of Derivatives 1:6~14
Broadie, M. / 1996 / American option valuation: new bounds, approxi-mations, and a comparison of existing methods / Review of Financial Studies 9:1211~1250
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