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  • 标题:The Effects of Negative Nominal Rates on the Pricing of American Calls: Some Theoretical and Numerical Insights
  • 本地全文:下载
  • 作者:Alessia Cafferata ; Pier Giuseppe Giribone ; Marina Resta
  • 期刊名称:Modern Economy
  • 印刷版ISSN:2152-7245
  • 电子版ISSN:2152-7261
  • 出版年度:2017
  • 卷号:08
  • 期号:07
  • 页码:878-887
  • DOI:10.4236/me.2017.87061
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:The article in vestigates the effects played on options pricing by negative risk-free rates when the underlying is an equity with null dividends. In such anomalous conditions, in fact, the fair value at early exercise of the American Call would not match the value of the European Call with the same financial features. We originally motivate this assumption with theoretical arguments. We then move to an empirical investigation where we put at work some quasi-closed formulas for pricing an American option and the stochastic trinomial trees algorithm. We then draw the conclusion that from a numerical viewpoint, the bias between the fair value of the American Call and the value of the corresponding. European Call is mainly due to approximation errors, which can be mitigated when Trinomial Stochastic Trees are used.
  • 关键词:American Options;Quasi-Closed Formulas;Negative Interest Rates;Stochastic Trinomial Trees
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