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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31316


    Title: Generalized analytical upper bounds for American option prices
    Authors: Chung,San-Lin;Chang,Hsieh-Chung
    Contributors: 財務金融研究所
    Keywords: STOCHASTIC VOLATILITY;VALUATION;MODEL
    Date: 2007
    Issue Date: 2010-07-06 17:42:01 (UTC+8)
    Publisher: 中央大學
    Abstract: This paper generalizes and tightens Chen and Yeh's (2002) analytical upper bounds for American options under stochastic interest rates, stochastic volatility, and jumps, where American option prices are difficult to compute with accuracy. We first general
    Relation: JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
    Appears in Collections:[財務金融研究所] 期刊論文

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