Option valuation by a self-exciting threshold binomial model

被引：7
|
作者：
Yuen, Fei Lung [1 ,2 ]
Siu, Tak Kuen [3 ,4 ]
Yang, Hailiang [5 ]
机构：
[1] Heriot Watt Univ, Dept Actuarial Math & Stat, Edinburgh EH14 4AS, Midlothian, Scotland
[2] Heriot Watt Univ, Maxwell Inst Math Sci, Edinburgh EH14 4AS, Midlothian, Scotland
[3] Macquarie Univ, Dept Actuarial Studies, Sydney, NSW 2109, Australia
[4] Macquarie Univ, Fac Business & Econ, Ctr Financial Risk, Sydney, NSW 2109, Australia
[5] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
来源：
MATHEMATICAL AND COMPUTER MODELLING | 2013年 / 58卷 / 1-2期
关键词：
Option valuation; Threshold principle; Self-exciting; Binomial models; Trinomial extensions; Regime switching;
D O I：
10.1016/j.mcm.2012.07.014
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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. (C) 2012 Elsevier Ltd. All rights reserved.
引用
收藏
页码：28 / 37
页数：10
相关论文
共 50 条
  • [1] A self-exciting threshold jump-diffusion model for option valuation
    Siu, Tak Kuen
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2016, 69 : 168 - 193
  • [2] Self-exciting threshold binomial autoregressive processes
    Tobias A. Möller
    Maria Eduarda Silva
    Christian H. Weiß
    Manuel G. Scotto
    Isabel Pereira
    [J]. AStA Advances in Statistical Analysis, 2016, 100 : 369 - 400
  • [3] Self-exciting threshold binomial autoregressive processes
    Moeller, Tobias A.
    Silva, Maria Eduarda
    Weiss, Christian H.
    Scotto, Manuel G.
    Pereira, Isabel
    [J]. ASTA-ADVANCES IN STATISTICAL ANALYSIS, 2016, 100 (04) : 369 - 400
  • [4] Evolutionary algorithm for self-exciting threshold autoregressive model
    [J]. Dong, Wen Yong (dwy@whu.edu.cn), 2015, Inderscience Enterprises Ltd., 29, route de Pre-Bois, Case Postale 856, CH-1215 Geneva 15, CH-1215, Switzerland (08)
  • [5] Self-exciting hysteretic binomial autoregressive processes
    Yang, Kai
    Zhao, Xiuyue
    Dong, Xiaogang
    Weiss, Christian H.
    [J]. STATISTICAL PAPERS, 2024, 65 (03) : 1197 - 1231
  • [6] Complex Dynamics of Logistic Self-Exciting Threshold Autoregressive Model
    Elhassanein, A.
    [J]. JOURNAL OF COMPUTATIONAL AND THEORETICAL NANOSCIENCE, 2015, 12 (04) : 542 - 548
  • [7] Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model
    Leunga, Charles Guy Njike
    Hainaut, Donatien
    [J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2022, 24 (02) : 963 - 990
  • [8] Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model
    Charles Guy Njike Leunga
    Donatien Hainaut
    [J]. Methodology and Computing in Applied Probability, 2022, 24 : 963 - 990
  • [9] OPTIMAL PORTFOLIO IN A CONTINUOUS-TIME SELF-EXCITING THRESHOLD MODEL
    Meng, Hui
    Yuen, Fei Lung
    Siu, Tak Kuen
    Yang, Hailiang
    [J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2013, 9 (02) : 487 - 504
  • [10] From the multiterm urn model to the self-exciting negative binomial distribution and Hawkes processes
    Hisakado, Masato
    Hattori, Kodai
    Mori, Shintaro
    [J]. PHYSICAL REVIEW E, 2022, 106 (03)
12345