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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/61738

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61738

Title:	Option Pricing Using the Martingale Approach with Polynomial Interpolation
Authors:	廖四郎 Liao,Szu-Lang;Wang,Ming-Chieh;Huang,Li-Jhang
Contributors:	金融系
Date:	2012.05
Issue Date:	2013-11-20 17:45:24 (UTC+8)
Abstract:	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).
Relation:	Journal of Futures Markets, 33(5), 469-491
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1002/fut.21557
DOI:	10.1002/fut.21557
Appears in Collections:	[金融學系] 期刊論文

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