Generalised Geske‐‐Johnson Interpolation of Option Prices
Abstract: This paper describes four separate option types as special cases of Bermudans with general inter–exercise and time to final maturity. This produces a surface with European, finite American, infinite Bermudan and infinite American options as special cases. This allows Geske–Johnson (1984) t...
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Online Access: | http://dx.doi.org/10.1111/j.1468-5957.2007.02014.x https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Fj.1468-5957.2007.02014.x https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1468-5957.2007.02014.x |
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crwiley:10.1111/j.1468-5957.2007.02014.x 2024-06-02T08:01:52+00:00 Generalised Geske‐‐Johnson Interpolation of Option Prices Chung, San–Lin Shackleton, Mark B. 2007 http://dx.doi.org/10.1111/j.1468-5957.2007.02014.x https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Fj.1468-5957.2007.02014.x https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1468-5957.2007.02014.x en eng Wiley http://onlinelibrary.wiley.com/termsAndConditions#vor Journal of Business Finance & Accounting volume 34, issue 5-6, page 976-1001 ISSN 0306-686X 1468-5957 journal-article 2007 crwiley https://doi.org/10.1111/j.1468-5957.2007.02014.x 2024-05-03T11:00:35Z Abstract: This paper describes four separate option types as special cases of Bermudans with general inter–exercise and time to final maturity. This produces a surface with European, finite American, infinite Bermudan and infinite American options as special cases. This allows Geske–Johnson (1984) two–point pricing to be extended to consider time–to–maturity as well as time–between–exercise opportunities. Due to their position on this ‘map’, infinite Bermudans are christened Arctic options and their pricing solution is presented. Numerical comparisons to benchmark methods are made for call prices under GBM although the results here hold for other processes and for both puts and calls when symmetry arguments are invoked. Article in Journal/Newspaper Arctic Wiley Online Library Arctic Journal of Business Finance & Accounting 34 5-6 976 1001 |
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Wiley Online Library |
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crwiley |
language |
English |
description |
Abstract: This paper describes four separate option types as special cases of Bermudans with general inter–exercise and time to final maturity. This produces a surface with European, finite American, infinite Bermudan and infinite American options as special cases. This allows Geske–Johnson (1984) two–point pricing to be extended to consider time–to–maturity as well as time–between–exercise opportunities. Due to their position on this ‘map’, infinite Bermudans are christened Arctic options and their pricing solution is presented. Numerical comparisons to benchmark methods are made for call prices under GBM although the results here hold for other processes and for both puts and calls when symmetry arguments are invoked. |
format |
Article in Journal/Newspaper |
author |
Chung, San–Lin Shackleton, Mark B. |
spellingShingle |
Chung, San–Lin Shackleton, Mark B. Generalised Geske‐‐Johnson Interpolation of Option Prices |
author_facet |
Chung, San–Lin Shackleton, Mark B. |
author_sort |
Chung, San–Lin |
title |
Generalised Geske‐‐Johnson Interpolation of Option Prices |
title_short |
Generalised Geske‐‐Johnson Interpolation of Option Prices |
title_full |
Generalised Geske‐‐Johnson Interpolation of Option Prices |
title_fullStr |
Generalised Geske‐‐Johnson Interpolation of Option Prices |
title_full_unstemmed |
Generalised Geske‐‐Johnson Interpolation of Option Prices |
title_sort |
generalised geske‐‐johnson interpolation of option prices |
publisher |
Wiley |
publishDate |
2007 |
url |
http://dx.doi.org/10.1111/j.1468-5957.2007.02014.x https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Fj.1468-5957.2007.02014.x https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1468-5957.2007.02014.x |
geographic |
Arctic |
geographic_facet |
Arctic |
genre |
Arctic |
genre_facet |
Arctic |
op_source |
Journal of Business Finance & Accounting volume 34, issue 5-6, page 976-1001 ISSN 0306-686X 1468-5957 |
op_rights |
http://onlinelibrary.wiley.com/termsAndConditions#vor |
op_doi |
https://doi.org/10.1111/j.1468-5957.2007.02014.x |
container_title |
Journal of Business Finance & Accounting |
container_volume |
34 |
container_issue |
5-6 |
container_start_page |
976 |
op_container_end_page |
1001 |
_version_ |
1800746371824746496 |