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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/135709

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135709

Title:	Analytical Approximations for American Options: The Binary Power Option Approach 美式選擇權之解析近似：二元乘冪選擇權法
Authors:	江彌修 Chiang, Mi-Hsiu Fu, Hsin-Hao
Contributors:	金融系
Keywords:	American option;binary power option;early exercise premium 美式選擇權;二元乘冪選擇權;提早履約溢酬
Date:	2018-09
Issue Date:	2021-06-10 14:12:02 (UTC+8)
Abstract:	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). 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)。
Relation:	Journal of Financial Studies, Vol.26, No.3, pp.91-116
Data Type:	article
DOI link:	http://dx.doi.org/10.6545%2fJFS.201809_26(3).0003
DOI:	10.6545%2fJFS.201809_26(3).0003
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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