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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/61674

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題名:	Option Pricing Using the Martingale Approach with Polynomial Interpolation
作者:	廖四郎 Wang, Ming-Chieh;Huang, Li-Jhang;Liao, Szu-Lang
貢獻者:	金融系
日期:	2013.09
上傳時間:	2013-11-13 17:46:23 (UTC+8)
摘要:	This study shows that in particular cases, the minimal martingale measure coincides with the Esscher martingale measure. Using the martingale approach can produce an exact solution for the price of a European call option on an asset modeled as an exponential Lévy process when a closed-form expression exists for the Lévy measure under some integrability conditions. If the jump component vanishes, the solution reduces to the Black–Scholes formula. To compute the option price accurately and quickly, this study uses polynomial interpolation with divided differences. A numerical analysis compares the accuracy and CPU time of the latter method with those of three Fourier-based formulas described by Lewis (2001).
關聯:	Journal of Futures Markets, 33(5) , 469-491
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1002/fut.21557
DOI:	10.1002/fut.21557
顯示於類別:	[金融學系] 期刊論文

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檔案	描述	大小	格式	瀏覽次數
469491.pdf		189Kb	Adobe PDF2	1229	檢視/開啟

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