Yuen, Fei Lung, Siu, Tak Kuen, Yang, Hailiang (2013) Option Valuation by a Self-Exciting Threshold Binomial Model. Mathematical and Computer Modelling, 58 (1-2). pp. 28-37. ISSN 0895-7177. (doi:10.1016/j.mcm.2012.07.014) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:97124)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: https://doi.org/10.1016/j.mcm.2012.07.014 |
Abstract
This paper introduces a discrete-time self-exciting threshold binomial model to price derivative securities. The key idea is to incorporate the regime switching effect in a discrete-time binomial model for an asset’s prices via the “self-exciting” threshold principle. The proposed model provides a simple structure for pricing options in a changing economic environment. Numerical examples for the proposed threshold binomial model as well as their trinomial extension are given.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.1016/j.mcm.2012.07.014 |
| Subjects: | Q Science > QA Mathematics (inc Computing science) |
| Divisions: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
| Depositing User: | Kevin Yuen |
| Date Deposited: | 28 Sep 2022 13:21 UTC |
| Last Modified: | 05 Nov 2024 13:02 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/97124 (The current URI for this page, for reference purposes) |
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