Comprehensive Studies on Using the Richardson extrapolation techniques for
Pricing American options under Alternative Stochastic Processes

ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 > Item 310904400/63636

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://asiair.asia.edu.tw/ir/handle/310904400/63636

题名:	Comprehensive Studies on Using the Richardson extrapolation techniques for Pricing American options under Alternative Stochastic Processes
作者:	Chuang-Chang Chang , Jun-Biao Linb,Wei-Che Tsaic, Yaw-HueiWangc
贡献者:	of Finance, National Central University of Money and Banking, National Kaohsiung First University of Science and Technology of Finance, National Taiwan University
关键词:	American options;the Richardson extrapolation technique the Repeated-Richardson extrapolation;alternative stochastic processes.
日期:	2010
上传时间:	2013-08-07 01:21:03 (UTC+0)
出版者:	of Finance, National Central University of Money and Banking, National Kaohsiung First University of Science and Technology of Finance, National Taiwan University
摘要:	Following from the innovation of Geske and Johnson (1984), the Richardson extrapolation technique is frequently used to price American options. Therefore it is very nature for one to ask the following questions: Is it always appropriate to use the Richardson extrapolation technique to value American options? In this study, we try to answer the above critical issue by investigating the valuation of American options using the Richardson extrapolation technique under alternative stochastic processes. Additionally, following from Chang, Chung and Stapleton (2007), we apply the Repeated-Richardson extrapolation method to estimate the interval of true American option values and to determine the number of options needed for an approximation to achieve a given desired accuracy. We then test the feasibility of the estimated error bounds of the American options under alternative stochastic processes as well. Our numerical results show that on average the Repeated-Richardson extrapolation technique outperforms the Richardson extrapolation technique for the valuation of American options under alternative stochastic processes.
關聯:	2010中部學術財金研討會論文發表
显示于类别:	[財務金融學系] 會議論文

文件中的档案:

没有与此文件相关的档案.

在ASIAIR中所有的数据项都受到原著作权保护.

数据加载中.....