An Improved Binomial Method using Cell Averages for Option Pricing
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 문경숙 | - |
dc.contributor.author | 김홍중 | - |
dc.date.accessioned | 2021-09-07T19:54:27Z | - |
dc.date.available | 2021-09-07T19:54:27Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2011 | - |
dc.identifier.issn | 1598-7248 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/114445 | - |
dc.description.abstract | We present an improved binomial method for pricing financial deriva-tives by using cell averages. After non-overlapping cells are introduced around each node in the binomial tree, the proposed method calculates cell averages of payoffs at expiry and then performs the backward valuation process. The price of the derivative and its hedging parameters such as Greeks on the valuation date are then computed using the compact scheme and Richardson extrapolation. The simulation results for European and American barrier options show that the pro-posed method gives much more accurate price and Greeks than other recent lattice methods with less computational effort. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 대한산업공학회 | - |
dc.title | An Improved Binomial Method using Cell Averages for Option Pricing | - |
dc.title.alternative | An Improved Binomial Method using Cell Averages for Option Pricing | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 김홍중 | - |
dc.identifier.bibliographicCitation | Industrial Engineering & Management Systems, v.10, no.2, pp.170 - 177 | - |
dc.relation.isPartOf | Industrial Engineering & Management Systems | - |
dc.citation.title | Industrial Engineering & Management Systems | - |
dc.citation.volume | 10 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 170 | - |
dc.citation.endPage | 177 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001556116 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Option Pricing | - |
dc.subject.keywordAuthor | Binomial Method | - |
dc.subject.keywordAuthor | Barrier Options | - |
dc.subject.keywordAuthor | Cell Averages | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.