An adaptive averaging binomial method for option valuation
DC Field | Value | Language |
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dc.contributor.author | Moo, Kyoung-Sook | - |
dc.contributor.author | Kim, Hongjoong | - |
dc.date.available | 2020-02-28T22:47:06Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2013-09 | - |
dc.identifier.issn | 0167-6377 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/14311 | - |
dc.description.abstract | We introduce efficient accurate binomial methods for option pricing. The standard binomial approximation converges to continuous Black-Scholes values with the saw-tooth pattern in the error as the number of time steps increases. When we introduce local averages of payoffs at expiry, the saw-tooth pattern in the error has been reduced and the approximation becomes reliable. Furthermore, we employ adaptive meshes around non-smooth regions for efficiency. Numerical experiments illustrate that the proposed method gives more accurate values with less computational work compared to other methods. (C) 2013 Elsevier B.V. All rights reserved. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.relation.isPartOf | OPERATIONS RESEARCH LETTERS | - |
dc.title | An adaptive averaging binomial method for option valuation | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000324967700021 | - |
dc.identifier.doi | 10.1016/j.orl.2013.06.008 | - |
dc.identifier.bibliographicCitation | OPERATIONS RESEARCH LETTERS, v.41, no.5, pp.511 - 515 | - |
dc.identifier.scopusid | 2-s2.0-84880266936 | - |
dc.citation.endPage | 515 | - |
dc.citation.startPage | 511 | - |
dc.citation.title | OPERATIONS RESEARCH LETTERS | - |
dc.citation.volume | 41 | - |
dc.citation.number | 5 | - |
dc.contributor.affiliatedAuthor | Moo, Kyoung-Sook | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Option pricing | - |
dc.subject.keywordAuthor | Binomial methods | - |
dc.subject.keywordAuthor | Adaptive methods | - |
dc.subject.keywordAuthor | Local averaging | - |
dc.relation.journalResearchArea | Operations Research & Management Science | - |
dc.relation.journalWebOfScienceCategory | Operations Research & Management Science | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
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