Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/520579
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dc.date.accessioned2023-10-19T03:39:13Z-
dc.date.available2023-10-19T03:39:13Z-
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/520579-
dc.description.abstractBased on the Geske and Johnson (1984) compound option approach, we propose an alternative analytic approximation for an American put option by generalising the solutions of the confined exponential distribution. We introduce a confined exponential extrapolation scheme, which extends the Geske-Johnson Richardson extrapolation method and the Ho. Stapleton, and Subrahmanyam ( 1994) exponential extrapolation method. Establishing a specific restriction on the upper bound between the American put price and the number of exercise points provides a new insight into the compound option approach. Numerical results show that our new method not only overcomes the deficiencies in existing two-point extrapolation methods for long-term options but also fu1ther improves pric ing accuracy for short-term options, which may substitute adequately for numerical solutions. Comparative statistics with other existing analytic approximations are a lso presented.en_US
dc.language.isoenen_US
dc.subjectAmerican put optionen_US
dc.subjectConfined exponential distributionen_US
dc.subjectCompound optionen_US
dc.subjectAnalytic approximationen_US
dc.subjectUpper bounden_US
dc.titleConfined exponential approximations for the valuation of the American put optionen_US
dc.typeSeminar Papersen_US
dc.format.pages71en_US
dc.identifier.callnoHG4026.A536 2001 katsemen_US
dc.contributor.conferencenameThe thirteenth Annual PACAP/FMA Finance Conference-
dc.coverage.conferencelocationWestin Chosun Hotel, Seoul, Korea-
dc.coverage.conferencelocationRadisson Plaza Hotel, Seoul, Korea-
dc.date.conferencedate2001-07-05-
Appears in Collections:Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

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