| dc.contributor | 金融系 | |
| dc.creator (作者) | 江彌修 | |
| dc.creator (作者) | Chiang, Mi-Hsiu | |
| dc.creator (作者) | Fu, Hsin-Hao | |
| dc.date (日期) | 2018-09 | |
| dc.date.accessioned | 10-六月-2021 14:12:02 (UTC+8) | - |
| dc.date.available | 10-六月-2021 14:12:02 (UTC+8) | - |
| dc.date.issued (上傳時間) | 10-六月-2021 14:12:02 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/135709 | - |
| dc.description.abstract (摘要) | This study proposes an innovative approach to value American options. Using a portfolio of binary power options to replicate the early exercise premium, we modify Medvedev and Scaillet (2010) to derive an analytical approximation of American option values under the Black-Scholes framework. Compared with Medvedev and Scaillet (2010), our approach provides a much simpler functional form of the early exercise premium that can be easily extended to high-order series expansions. The numerical results show that the pricing performance of our method is closely comparable to that of Medvedev and Scaillet (2010) and superior to that of Barone-Adesi and Whaley (1987). | |
| dc.description.abstract (摘要) | 本研究提出一創新方法評價美式選擇權。利用二元乘冪選擇權之投資組合複製提早履約溢酬，本文在Black-Scholes架構下修改Medvedev and Scaillet (2010)方法，導出美式選擇權價格之解析近似。相較於Medvedev and Scaillet (2010)，本研究提供更為簡易之函數型式，並易於應用至高階級數。結果發現，本文方法堪比Medvedev and Scaillet (2010)所呈現之結果，並優於Barone-Adesi and Whaley (1987)。 | |
| dc.format.extent | 2364832 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Financial Studies, Vol.26, No.3, pp.91-116 | |
| dc.subject (關鍵詞) | American option ; binary power option ; early exercise premium ; | |
| dc.subject (關鍵詞) | 美式選擇權 ; 二元乘冪選擇權 ; 提早履約溢酬 | |
| dc.title (題名) | Analytical Approximations for American Options: The Binary Power Option Approach | |
| dc.title (題名) | 美式選擇權之解析近似：二元乘冪選擇權法 | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.6545%2fJFS.201809_26(3).0003 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.6545%2fJFS.201809_26(3).0003 | |
