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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.20 No.2
- 발행연도
- 2016.6
- 수록면
- 163 - 174 (12page)
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초록· 키워드
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In this paper, we propose an optimal choice scheme to determine the best option among comparable options whose current expectations are all the same under the condition that an investor has a confidence in the future value realization of underlying assets. For this purpose, we use a path-averaged option as our base instrument in which we calculate the time discounted value along the path and divide it by the number of time steps for a given expected path. First, we consider three European call options such as vanilla, cash-or-nothing, and asset-or-nothing as our comparable set of choice schemes. Next, we perform the experiments using historical data to prove the usefulness of our proposed scheme. The test suggests that the path-averaged option value is a good guideline to choose an optimal option.
목차
ABSTRACT
1. INTRODUCTION
2. PROPOSED METHOD
3. NUMERICAL EXPERIMENTS
4. CONCLUSION
REFERENCES
참고문헌 (27)
참고문헌 신청
[학술지(정기간행물)] - F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ 81 : 637 ~ 659
[학술지(정기간행물)] - C. Wang / 2015 / The pricing of vulnerable options in a fractional Brownian motion environment / Discrete Dyn. Nat. Soc 2015 : 579213 ~
[단행본] - D.J. Duffy / 2006 / Finite Difference Methods in Financial Engineering / John Wiley & Sons
[학술지(정기간행물)] - H. Han / 2003 / A fast numerical method for the Black–Scholes equation of American options / SIAM J. Numer. Anal 41 (6) : 2081 ~ 2095
[학술지(정기간행물)] - Darae Jeong / 2014 / An adaptive finite difference method using far-field boundary conditions for the Black--Scholes equation / 대한수학회보 51 (4) : 1087 ~ 1100
[학술지(정기간행물)] - C. Wang / 2015 / The pricing of vulnerable options in a fractional Brownian motion environment / Discrete Dyn. Nat. Soc 2015 : 579213 ~
[단행본] - D.J. Duffy / 2006 / Finite Difference Methods in Financial Engineering / John Wiley & Sons
[학술지(정기간행물)] - H. Han / 2003 / A fast numerical method for the Black–Scholes equation of American options / SIAM J. Numer. Anal 41 (6) : 2081 ~ 2095
[학술지(정기간행물)] - Darae Jeong / 2014 / An adaptive finite difference method using far-field boundary conditions for the Black--Scholes equation / 대한수학회보 51 (4) : 1087 ~ 1100
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UCI(KEPA) : I410-ECN-0101-2017-410-000880316