The accuracy and efficiency of alternative option pricing approaches relative to a log-transformed trinomial model

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31335

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31335

Title:	The accuracy and efficiency of alternative option pricing approaches relative to a log-transformed trinomial model
Authors:	Chen,HC;Chen,DM;Chung,SL
Contributors:	財務金融研究所
Keywords:	TIME CONTINGENT CLAIMS;CONVERGENCE;VALUATION;APPROXIMATIONS;AMERICAN;DISCRETE
Date:	2002
Issue Date:	2010-07-06 17:42:33 (UTC+8)
Publisher:	中央大學
Abstract:	This article presents a log-transformed trinomial approach to option pricing and finds that various numerical procedures in the option pricing literature are embedded in this approach with choices of different parameters. The unified view also facilitates
Relation:	JOURNAL OF FUTURES MARKETS
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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