Title :
Threshold-GARCH Option Pricing: A Trinomial Tree Approach
Author :
Liu, Shu-Ing ; Liu, Yu-Chung
Author_Institution :
Shih Hsin Univ., Taipei
Abstract :
In this paper, trinomial tree option pricing algorithms for Threshold-GARCH model are presented. A simple computational method, called the "median " algorithm is proposed; moreover, extensions of the interpolating methods proposed by Ritchken & Trevor (1999) and Cakici & Topyan (2000) are included. The numerical results show that the proposed "median" method is not only accurate, but also offers a significant reduction in computing-time.
Keywords :
investment; pricing; trees (mathematics); median algorithm; threshold-GARCH model; trinomial tree option pricing algorithms; Finance; Interpolation; Mathematics; Pricing; Robustness; State-space methods;
Conference_Titel :
Innovative Computing, Information and Control, 2007. ICICIC '07. Second International Conference on
Conference_Location :
Kumamoto
Print_ISBN :
0-7695-2882-1
DOI :
10.1109/ICICIC.2007.597
