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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/135709


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    題名: 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
    作者: 江彌修
    Chiang, Mi-Hsiu
    Fu, Hsin-Hao
    貢獻者: 金融系
    關鍵詞: 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
    日期: 2018-09
    上傳時間: 2021-06-10 14:12:02 (UTC+8)
    摘要: 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)。
    關聯: Journal of Financial Studies, Vol.26, No.3, pp.91-116
    資料類型: article
    DOI 連結: http://dx.doi.org/10.6545%2fJFS.201809_26(3).0003
    DOI: 10.6545%2fJFS.201809_26(3).0003
    顯示於類別:[金融學系] 期刊論文

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