지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국전산응용수학회 Journal of applied mathematics & computing Journal of applied mathematics & computing 제17권 제1호
- 발행연도
- 2005.1
- 수록면
- 519 - 536 (18page)
이용수
초록· 키워드
오류제보하기
The purpose of this paper is to propose several approximating methods to obtain the American option prices under jump-diffusion processes. The first method is to extend an approximating method to the optimal exercise boundary by a multipiece exponential function suggested by Ju [17]. The second approach is to modify the analytical methods of MacMillan [20] and Zhang [25] in a discrete time space. The third approach is to apply the simulation technique of Ibanez and Zapareto [14] to the problem of American option pricing when the jumps are allowed. Finally, we compare the numerical performance of each suggesting method with those of the previous numerical approaches.
목차
등록된 정보가 없습니다.
참고문헌 (0)
참고문헌 신청함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
A survey on American options: old approaches and new trends
대한수학회보
2011 .01
-
Pricing options with credit risk in a reduced form model
JKSS(Journal of the Korean Statistical Society)
2012 .01
-
Jump-diffusion Asset Models Derived From Stochastic Difference Equations
한국산업응용수학회 학술대회 논문집
2007 .11
-
A FAST AND ROBUST NUMERICAL METHOD FOR OPTION PRICES AND GREEKS IN A JUMP-DIFFUSION MODEL
순수 및 응용수학
2015 .01
-
FINITE ELEMENT METHODS FOR THE PRICE AND THE FREE BOUNDARY OF AMERICAN CALL AND PUT OPTIONS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2008 .12
-
An improved binomial method for pricing Asian options
대한수학회논문집
2013 .01
-
OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES
순수 및 응용수학
2014 .01
-
CONVERGENCE OF THE BINOMIAL TREE METHOD FOR PRICING LOOKBACK OPTIONS IN A JUMP-DIFFUSION MODEL
한국산업응용수학회 학술대회 논문집
2007 .05
-
CLOSED-FORM UPPER BOUNDS FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT
한국산업응용수학회 학술대회 논문집
2006 .11
-
Approximations of option prices for a jump-diffusion model
대한수학회지
2006 .01
-
CLOSED-FORM SOLUTIONS OF AMERICAN PERPETUAL PUT OPTION UNDER A STRUCTURALLY CHANGING ASSET
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2011 .06
-
PRICING OF POWER OPTIONS UNDER THE REGIME-SWITCHING MODEL
Journal of applied mathematics & informatics
2014 .01
-
SIMULATIONS IN OPTION PRICING MODELS APPLIED TO KOSPI200
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2003 .12
-
Removing Singularities in Immersed Finite Element Method
한국산업응용수학회 학술대회 논문집
2008 .05
-
HEDGING OF OPTION IN JUMP-TYPE SEMIMARTINGALE ASSET MODEL
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2009 .06
-
Analytic calculation of european option pricing in stochastic volatility asset model
한국수학논문집
2012 .01
-
Time-resolved methods in biophysics. 9. Laser temperature-jump methods for investigating biomolecular dynamics
Photochemical & photobiological sciences : an international journal
2009 .01
-
FINITE-DIFFERENCE BISECTION ALGORITHMS FOR FREE BOUNDARIES OF AMERICAN OPTIONS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2015 .03
이 논문의 저자 정보
최근 본 자료
댓글(0)
0