Name
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. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1016/j.mcm.2012.07.014 | Mathematical and Computer Modelling |
Keywords | Field | DocType |
Option valuation,Threshold principle,Self-exciting,Binomial models,Trinomial extensions,Regime switching | Regime switching,Binomial options pricing model,Binomial distribution,Mathematical economics,Valuation of options,Trinomial tree,Derivative (finance),Mathematics,Trinomial | Journal |
Volume | Issue | ISSN |
58 | 1 | 0895-7177 |
Citations | PageRank | References |
1 | 0.39 | 0 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Fei Lung Yuen | 1 | 18 | 2.64 |
| Tak Kuen Siu | 2 | 114 | 20.25 |
| Hailiang Yang | 3 | 62 | 12.18 |