Richardson extrapolation techniques for the pricing of American-style options

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31317

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31317

Title:	Richardson extrapolation techniques for the pricing of American-style options
Authors:	Chang,Chuang-Chang;Chung,San-Lin;Stapleton,Richard C.
Contributors:	財務金融研究所
Keywords:	VALUATION;CONVERGENCE;MODEL
Date:	2007
Issue Date:	2010-07-06 17:42:03 (UTC+8)
Publisher:	中央大學
Abstract:	In this article, the authors reexamine the American-style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to oc
Relation:	JOURNAL OF FUTURES MARKETS
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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