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Article: Option valuation by a self-exciting threshold binomial model

TitleOption valuation by a self-exciting threshold binomial model
Authors
KeywordsBinomial Models
Option Valuation
Regime Switching
Self-Exciting
Threshold Principle
Trinomial Extensions
Issue Date2013
PublisherPergamon. The Journal's web site is located at http://www.elsevier.com/locate/mcm
Citation
Mathematical And Computer Modelling, 2013, v. 58 n. 1-2, p. 28-37 How to Cite?
AbstractThis 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. © 2012 Elsevier Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/172507
ISSN
2015 Impact Factor: 1.366
2015 SCImago Journal Rankings: 0.643
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorYuen, FLen_US
dc.contributor.authorSiu, TKen_US
dc.contributor.authorYang, Hen_US
dc.date.accessioned2012-10-30T06:22:51Z-
dc.date.available2012-10-30T06:22:51Z-
dc.date.issued2013en_US
dc.identifier.citationMathematical And Computer Modelling, 2013, v. 58 n. 1-2, p. 28-37en_US
dc.identifier.issn0895-7177en_US
dc.identifier.urihttp://hdl.handle.net/10722/172507-
dc.description.abstractThis 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. © 2012 Elsevier Ltd.en_US
dc.languageengen_US
dc.publisherPergamon. The Journal's web site is located at http://www.elsevier.com/locate/mcmen_US
dc.relation.ispartofMathematical and Computer Modellingen_US
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in Mathematical and Computer Modelling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Mathematical and Computer Modelling, [VOL 58, ISSUE 1-2, 2013] DOI 10.1016/j.mcm.2012.07.014-
dc.subjectBinomial Modelsen_US
dc.subjectOption Valuationen_US
dc.subjectRegime Switchingen_US
dc.subjectSelf-Excitingen_US
dc.subjectThreshold Principleen_US
dc.subjectTrinomial Extensionsen_US
dc.titleOption valuation by a self-exciting threshold binomial modelen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.mcm.2012.07.014en_US
dc.identifier.scopuseid_2-s2.0-84878581451en_US
dc.identifier.hkuros229401-
dc.identifier.isiWOS:000320601000004-
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridYuen, FL=35073271000en_US
dc.identifier.scopusauthoridSiu, TK=8655758200en_US
dc.identifier.scopusauthoridYang, H=7406559537en_US
dc.identifier.citeulike10988672-

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