کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069527 | 1476990 | 2015 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley](/preview/png/5069527.png)
چکیده انگلیسی
We consider the problem of pricing American options on an underlying described by the constant elasticity of variance (CEV) model. Such a problem does not have an exact closed-form solution, and therefore some kind of approximation is required. In this paper we extend the approach proposed by Barone-Adesi and Whaley (1997), which allows us to obtain a direct semi-analytical approximate solution. Numerical experiments are presented showing that the proposed method is satisfactorily accurate and computationally very fast.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 14, August 2015, Pages 45-55
Journal: Finance Research Letters - Volume 14, August 2015, Pages 45-55
نویسندگان
Luca Vincenzo Ballestra, Liliana Cecere,