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A general lattice approach to pricin...

Ji, Dasheng.

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A general lattice approach to pricing American options with nonlognormal distributions.

Record Type:	Electronic resources : Monograph/item
Title/Author:	A general lattice approach to pricing American options with nonlognormal distributions./
Author:	Ji, Dasheng.
Description:	91 p.
Notes:	Source: Dissertation Abstracts International, Volume: 62-01, Section: A, page: 0262.
Contained By:	Dissertation Abstracts International62-01A.
Subject:	Economics, Agricultural. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9999906
ISBN:	049308486X

A general lattice approach to pricing American options with nonlognormal distributions.
Ji, Dasheng.

A general lattice approach to pricing American options with nonlognormal distributions. - 91 p.

Source: Dissertation Abstracts International, Volume: 62-01, Section: A, page: 0262.

Thesis (Ph.D.)--Oklahoma State University, 2000.

Scope and method of study. The purpose of this study is to develop a general tree option pricing framework that is suitable for arbitrary underlying asset price distributions yet can handle both European and American options. The parameters in the general tree models are determined by a method based on Gaussian quadrature and nonlinear programming. By using Taylor series and the Central Limit Theorem, the asymptotic limit of the general binomial tree model was derived. The pricing accuracy and forecasting errors of the general tree models relative to other option pricing models were examined by numerical simulation and by empirical data analysis. Specifically, the parameters were given in the simulation, while they were implied by repeated nonlinear programming in the empirical analysis. In both simulation and empirical analysis, option premiums were calculated according to the same algorithm based on Gaussian quadrature. The empirical analysis used option premiums for corn, soybeans, and wheat futures.

ISBN: 049308486XSubjects--Topical Terms:

626648
Economics, Agricultural.

A general lattice approach to pricing American options with nonlognormal distributions.
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100 1 $a Ji, Dasheng. $3 1949314
245 1 2 $a A general lattice approach to pricing American options with nonlognormal distributions.
300 $a 91 p.
500 $a Source: Dissertation Abstracts International, Volume: 62-01, Section: A, page: 0262.
500 $a Adviser: B. Wade Brorsen.
502 $a Thesis (Ph.D.)--Oklahoma State University, 2000.
520 $a Scope and method of study. The purpose of this study is to develop a general tree option pricing framework that is suitable for arbitrary underlying asset price distributions yet can handle both European and American options. The parameters in the general tree models are determined by a method based on Gaussian quadrature and nonlinear programming. By using Taylor series and the Central Limit Theorem, the asymptotic limit of the general binomial tree model was derived. The pricing accuracy and forecasting errors of the general tree models relative to other option pricing models were examined by numerical simulation and by empirical data analysis. Specifically, the parameters were given in the simulation, while they were implied by repeated nonlinear programming in the empirical analysis. In both simulation and empirical analysis, option premiums were calculated according to the same algorithm based on Gaussian quadrature. The empirical analysis used option premiums for corn, soybeans, and wheat futures.
520 $a Findings and conclusions. The general binomial tree and trinomial tree models developed in this study are at least as accurate as previous tree models when the true underlying distribution is lognormal. When the underlying distribution is nonlognormal, the general tree models are significantly more accurate than other tree models. For implying the parameters to forecast the option premiums, the general tree models are obviously more accurate than the previous tree models as well as the Black-Scholes formula. The relative accuracy of the general tree models was similar to the Jarrow-Rudd model. Thus, for the agricultural options markets examined, capturing skewness was the key. Capturing kurtosis and the American option premium was relatively unimportant.
590 $a School code: 0664.
650 4 $a Economics, Agricultural. $3 626648
650 4 $a Economics, Finance. $3 626650
690 $a 0503
690 $a 0508
710 2 0 $a Oklahoma State University. $3 626630
773 0 $t Dissertation Abstracts International $g 62-01A.
790 1 0 $a Brorsen, B. Wade, $e advisor
790 $a 0664
791 $a Ph.D.
792 $a 2000
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9999906