Generalized analytical upper bounds for American option prices

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31316

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:	[Graduate Institute of Finance] journal & Dissertation

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