A GENERALIZATION OF THE BARONE-ADESI AND WHALEY APPROACH FOR THE ANALYTIC APPROXIMATION OF AMERICAN OPTIONS

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DC 欄位	值	語言
dc.contributor.author	Guo, Jia-Hau	en_US
dc.contributor.author	Hung, Mao-Wei	en_US
dc.contributor.author	So, Leh-Chyan	en_US
dc.date.accessioned	2014-12-08T15:20:01Z	-
dc.date.available	2014-12-08T15:20:01Z	-
dc.date.issued	2009-05-01	en_US
dc.identifier.issn	0270-7314	en_US
dc.identifier.uri	http://dx.doi.org/10.1002/fut.20361	en_US
dc.identifier.uri	http://hdl.handle.net/11536/14182	-
dc.description.abstract	This article introduces a general quadratic approximation scheme for pricing American options based on stochastic volatility and double jump processes. This quadratic approximation scheme is a generalization of the Barone-Adesi and Whaley approach and nests several option models. Numerical results show that this quadratic approximation scheme is efficient and useful in pricing American options. (c) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:478-493, 2009	en_US
dc.language.iso	en_US	en_US
dc.title	A GENERALIZATION OF THE BARONE-ADESI AND WHALEY APPROACH FOR THE ANALYTIC APPROXIMATION OF AMERICAN OPTIONS	en_US
dc.type	Article	en_US
dc.identifier.doi	10.1002/fut.20361	en_US
dc.identifier.journal	JOURNAL OF FUTURES MARKETS	en_US
dc.citation.volume	29	en_US
dc.citation.issue	5	en_US
dc.citation.spage	478	en_US
dc.citation.epage	493	en_US
dc.contributor.department	管理學院	zh_TW
dc.contributor.department	College of Management	en_US
dc.identifier.wosnumber	WOS:000264318900005	-
dc.citation.woscount	1	-
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