کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088165 | 1478300 | 2017 | 52 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Simple analytical solutions for the prices of discretely monitored barrier options do not yet exist in the literature. This paper presents a semi-analytical and fully explicit solution for pricing discretely monitored barrier options when the underlying asset is driven by a general Lévy process. The explicit formula only involves elementary functions, and the Greeks are also explicitly available with little additional computation. By performing a Z-transform, we reduce the valuation problem to an integral equation. This equation is solved analytically with the solution expressed in terms of a Fourier cosine series. We then manage to analytically carry out the Z-transform inversion, and obtain a semi-analytical formula for pricing discrete barrier options. We establish the theoretical error bound and analyze the convergence order of our method. Numerical implementation demonstrates that our numerical results are accurate and efficient, and match up with the results from the benchmark methods in the literature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 75, February 2017, Pages 167-183
Journal: Journal of Banking & Finance - Volume 75, February 2017, Pages 167-183
نویسندگان
Guanghua Lian, Song-Ping Zhu, Robert J. Elliott, Zhenyu Cui,