A GENERALIZATION OF THE BARONE-ADESI AND WHALEY APPROACH FOR THE ANALYTIC APPROXIMATION OF AMERICAN OPTIONS
| dc.citation.epage | 493 | en_US |
| dc.citation.issue | 5 | en_US |
| dc.citation.spage | 478 | en_US |
| dc.citation.volume | 29 | en_US |
| dc.citation.woscount | 1 | |
| 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.contributor.department | 管理學院 | zh_TW |
| dc.contributor.department | College of Management | 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.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.identifier.doi | 10.1002/fut.20361 | en_US |
| dc.identifier.issn | 0270-7314 | en_US |
| dc.identifier.journal | JOURNAL OF FUTURES MARKETS | en_US |
| dc.identifier.uri | http://dx.doi.org/10.1002/fut.20361 | en_US |
| dc.identifier.uri | https://ir.lib.nycu.edu.tw/handle/11536/14182 | |
| dc.identifier.wosnumber | WOS:000264318900005 | |
| 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 |