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dc.contributor.authorLo, Keno-Hsinen_US
dc.contributor.authorWang, Kehluhen_US
dc.contributor.authorHsu, Ming-Fengen_US
dc.date.accessioned2014-12-08T15:10:27Z-
dc.date.available2014-12-08T15:10:27Z-
dc.date.issued2009-01-01en_US
dc.identifier.issn0377-0427en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.cam.2008.01.012en_US
dc.identifier.urihttp://hdl.handle.net/11536/7984-
dc.description.abstractWe develop a modified Edgeworth binomial model with higher moment considereation for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, Our algorithm is as precise as that of Chalasani et it. [P. Chalasani., S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, Our estimates can work better than those in Chalasani et al. 111. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined biomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] and are very similar to the benchmarks in Hull and White [J. Hull A. White, Efficient procedures for valuing European Our modified and American path-dependent options. J. Derivatives I (Fall) (1993) 21-31]. The numerical analysis shows that Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution. (C) 2008 Elsevier B.V. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectAmerican Asian optionsen_US
dc.subjectEdgeworth binomial modelen_US
dc.subjectHigher momenten_US
dc.titlePricing American Asian options with higher moments in the underlying distributionen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.cam.2008.01.012en_US
dc.identifier.journalJOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICSen_US
dc.citation.volume223en_US
dc.citation.issue1en_US
dc.citation.spage304en_US
dc.citation.epage313en_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:000261041100023-
dc.citation.woscount2-
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