File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1111/j.1467-9965.2009.00389.x
- Scopus: eid_2-s2.0-74949140698
- WOS: WOS:000273687700003
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Pricing and hedging american options analytically: A perturbation method
Title | Pricing and hedging american options analytically: A perturbation method |
---|---|
Authors | |
Keywords | American option Analytical formula Black-Scholes equation Critical stock price Perturbation method |
Issue Date | 2010 |
Publisher | Wiley-Blackwell Publishing, Inc.. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0960-1627 |
Citation | Mathematical Finance, 2010, v. 20 n. 1, p. 59-87 How to Cite? |
Abstract | This paper studies the critical stock price of American options with continuous dividend yield. We solve the integral equation and derive a new analytical formula in a series form for the critical stock price. American options can be priced and hedged analytically with the help of our critical-stock-price formula. Numerical tests show that our formula gives very accurate prices. With the error well controlled, our formula is now ready for traders to use in pricing and hedging the S&P 100 index options and for the Chicago Board Options Exchange to use in computing the VXO volatility index. © 2010 Wiley Periodicals, Inc. |
Persistent Identifier | http://hdl.handle.net/10722/85579 |
ISSN | 2021 Impact Factor: 2.894 2020 SCImago Journal Rankings: 1.980 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Zhang, JE | en_HK |
dc.contributor.author | Li, T | en_HK |
dc.date.accessioned | 2010-09-06T09:06:48Z | - |
dc.date.available | 2010-09-06T09:06:48Z | - |
dc.date.issued | 2010 | en_HK |
dc.identifier.citation | Mathematical Finance, 2010, v. 20 n. 1, p. 59-87 | en_HK |
dc.identifier.issn | 0960-1627 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/85579 | - |
dc.description.abstract | This paper studies the critical stock price of American options with continuous dividend yield. We solve the integral equation and derive a new analytical formula in a series form for the critical stock price. American options can be priced and hedged analytically with the help of our critical-stock-price formula. Numerical tests show that our formula gives very accurate prices. With the error well controlled, our formula is now ready for traders to use in pricing and hedging the S&P 100 index options and for the Chicago Board Options Exchange to use in computing the VXO volatility index. © 2010 Wiley Periodicals, Inc. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Wiley-Blackwell Publishing, Inc.. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0960-1627 | en_HK |
dc.relation.ispartof | Mathematical Finance | en_HK |
dc.subject | American option | en_HK |
dc.subject | Analytical formula | en_HK |
dc.subject | Black-Scholes equation | en_HK |
dc.subject | Critical stock price | en_HK |
dc.subject | Perturbation method | en_HK |
dc.title | Pricing and hedging american options analytically: A perturbation method | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0960-1627&volume=20&issue=1&spage=59&epage=87&date=2010&atitle=Pricing+and+hedging+American+options+analytically:+a+perturbation+method | en_HK |
dc.identifier.email | Zhang, JE: jinzhang@hku.hk | en_HK |
dc.identifier.authority | Zhang, JE=rp01125 | en_HK |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1111/j.1467-9965.2009.00389.x | en_HK |
dc.identifier.scopus | eid_2-s2.0-74949140698 | en_HK |
dc.identifier.hkuros | 168635 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-74949140698&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 20 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 59 | en_HK |
dc.identifier.epage | 87 | en_HK |
dc.identifier.eissn | 1467-9965 | - |
dc.identifier.isi | WOS:000273687700003 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | Zhang, JE=7601346659 | en_HK |
dc.identifier.scopusauthorid | Li, T=8836091500 | en_HK |
dc.identifier.citeulike | 6564081 | - |
dc.identifier.issnl | 0960-1627 | - |