Using Richardson extrapolation techniques to price American options with alternative stochastic processes

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题名:	Using Richardson extrapolation techniques to price American options with alternative stochastic processes
作者:	張傳章;Chang, Chuang-Chang;Lin, Jun-Biao;Tsai, Wei-Che;Wang, Yaw-Huei
贡献者:	管理學院財務金融學系
关键词:	Accounting/Auditing;Accuracy;Alternatives;Approximation;Assets;Case studies;Corporate Finance;Econometrics;Economics and Finance;Extrapolation;Feasibility;Finance;Inequality;Mathematical models;Methods;Monte Carlo simulation;Numerical analysis;Operations Research/Decision Theory;Option pricing;Original Research;Prices;Securities analysis;Securities prices;Stochastic models;Stochastic processes;Studies;Volatility
日期:	2012-10-01
上传时间:	2026-04-23 12:05:56 (UTC+8)
出版者:	Springer New York;Boston: Springer US
摘要:	摘要： In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative stochastic processes of the underlying asset price. The numerical results show that whether the original or modified formula is implemented, the Richardson extrapolation techniques work very well. The repeated Richardson extrapolation strongly outperforms the original, especially when the underlying asset price follows a stochastic volatility process. Moreover, this study verifies the feasibility of the estimated error bounds of the American option prices under alternative stochastic processes by applying the repeated Richardson extrapolation method and estimating the interval of true American option values, as well as determining the number of options needed for an approximation to achieve a desired accuracy level. 其他題名： Rev Quant Finan Acc 出版者： Boston: Springer US 出版日期： 2012-10-01 出處： Review of quantitative finance and accounting, 2012-10, Vol.39 (3), p.383-406 資源來源： SpringerLink Journals 版權： Springer Science+Business Media, LLC 2011 版權： Springer Science+Business Media, LLC 2012 識別號： ISSN: 0924-865X 識別號： EISSN: 1573-7179 識別號： DOI: 10.1007/s11156-011-0253-0
显示于类别:	[財務金融學系] 期刊論文

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