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題名:Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process
書刊名:期貨與選擇權學刊
作者:翁培師 引用關係蔡維哲 引用關係
作者(外文):Weng, Pei-shihTsai, Wei-che
出版日期:2015
卷期:8:3
頁次:頁1-43
主題關鍵詞:選擇權評價數值積分法跳躍擴散模型Option pricingNumerical quadratureJump-diffusion model
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:18
期刊論文
1.Broadie, M.、Yamamoto, Y.(2003)。Application of the Fast Gauss Transform to Option Pricing。Management Science,49,1071-1088。  new window
2.Chen, C. J.、Panjer, H.(2003)。Unifying Discrete Structural Models and Reduced-Form Models in Credit Risk using a Jump-Diffusion Process。Insurance: Mathematics and Economics,33,357-380。  new window
3.Chen, D.、Harkonen, H. J.、Newton, D. P.(2014)。Advancing the Universality of Quadrature Methods to any Underlying Process for Option Pricing。Journal of Financial Economics,114,600-612。  new window
4.Chung, S. L.、Ko, K.、Shackleton, M.、Yeh, C. Y.(2010)。Efficient Quadrature and Node Positioning for Exotic Option Valuation。Journal of Futures Markets,30,1026-1057。  new window
5.Feng, L.、Linetsky, V.(2008)。Pricing Options in Jump-Diffusion Models: An Extrapolation Approach。Operations Research,56,304-325。  new window
6.Gatzert, N.、Schmeiser, H.(2008)。Combining Fair Pricing and Capital Requirements for Non-Life Insurance Companies。Journal of Banking & Finance,32,2589-2596。  new window
7.Gukhal, C. R.(2001)。Analytical Valuation of American Options on Jump-Diffusion Processes。Mathematical Finance,11,97-115。  new window
8.Hilliard, J. E.、Schwartz, A.(2005)。Pricing European and American Derivatives under a Jump-Diffusion Process: A Bivariate Tree Approach。Journal of Financial and Quantitative Analysis,40,671-691。  new window
9.Matache, A.-M.、Nitsche, P.-A.、Schwab, C.(2005)。Wavelet Galerkin Pricing of American Options on Levy-driven Assets。Quantitative Finance,5,403-424。  new window
10.Sullivan, M. A.(2000)。Valuing American Put Options using Gaussian Quadrature。Review of Financial Studies,13,75-94。  new window
11.Zhang, Benjamin Yibin、Zhou, Hao、Zhu, Haibin(2009)。Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms。Review of Financial Studies,22(12),5099-5131。  new window
12.Amin, Kaushik I.(1993)。Jump diffusion option valuation in discrete time。Journal of Finance,48(5),1833-1863。  new window
13.Andersen, L.、Andreasen, J.(2000)。Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing。Review of Derivatives Research,4(3),231-262。  new window
14.Andricopoulos, A. D.、Widdicks, M.、Duck, P. W.、Newton, D. P.(2003)。Universal Option Valuation using Quadrature Methods。Journal of Financial Economics,67(3),447-471。  new window
15.Broadie, M.、Glasserman, P.(1997)。Pricing American-style securities using simulation。Journal of Economic Dynamics and Control,21(8),1323-1352。  new window
16.Gukhal, C. R.(2004)。The Compound Option Approach to American Options on Jump-Diffusions。Journal of Economic Dynamics and Control,28,2055-2074。  new window
17.Kau, J. B.、Keenan, D. C.(1996)。An Option-Theoretic Model of Catastrophes Applied to Mortgage Insurance。Journal of Risk and Insurance,63,639-656。  new window
18.Longstaff, F. A.、Schwartz, E. A.(2001)。Valuing American options by simulation: A simple least-squares approach。Review of Financial Studies,14,113-147。  new window
19.Zhou, Chun-Sheng(2001)。The Term Structure of Credit Spreads with Jump Risk。Journal of Banking and Finance,25(11),2015-2040。  new window
20.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
21.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
22.Kau, J. B.、Keenan, D. C.(1999)。Catastrophic Default and Credit Risk for Lending Institutions。Journal of Finance Services Research,15(2),87-102。  new window
23.Cummins, J. David(1988)。Risk-Based Premiums for Insurance Guaranty Funds。Journal of Finance,43(4),823-839。  new window
 
 
 
 
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