完整後設資料紀錄
DC 欄位語言
dc.contributor.authorDai, Tian-Shyren_US
dc.contributor.authorLyuu, Yuh-Dauhen_US
dc.date.accessioned2014-12-08T15:19:53Z-
dc.date.available2014-12-08T15:19:53Z-
dc.date.issued2010-06-01en_US
dc.identifier.issn1074-1240en_US
dc.identifier.urihttp://dx.doi.org/10.3905/jod.2010.17.4.007en_US
dc.identifier.urihttp://hdl.handle.net/11536/14105-
dc.description.abstractMost derivatives do not have simple valuation formulas and must be priced by numerical methods such as tree models. Although the option prices computed by a tree model converge to the theoretical value as the number of time steps increases, the distribution error and the nonlinearity error may make the prices converge slowly or even oscillate significantly. This article introduces a novel tree model, the bino-trinomial tree (BTT), that can price a wide range of derivatives efficiently and accurately. The BTT reduces the nonlinearity error sharply by adapting its structure to suit the derivative's specification; consequently, the pricing results converge smoothly and quickly. Moreover, the pricing of some European-style options on the BTT can be made extremely efficient by combinatorial tools, which are not available to most other tree models. Therefore, the BTT can efficiently reduce the distribution error by picking a large number of time steps. This article uses a variety of options to demonstrate the effectiveness of the BTT Extensive numerical experiments show the superiority of the BTT to many other popular numerical models.en_US
dc.language.isoen_USen_US
dc.titleThe Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricingen_US
dc.typeArticleen_US
dc.identifier.doi10.3905/jod.2010.17.4.007en_US
dc.identifier.journalJOURNAL OF DERIVATIVESen_US
dc.citation.volume17en_US
dc.citation.issue4en_US
dc.citation.spage7en_US
dc.citation.epage24en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000278345900002-
dc.citation.woscount6-
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