DocumentCode
2736262
Title
Threshold-GARCH Option Pricing: A Trinomial Tree Approach
Author
Liu, Shu-Ing ; Liu, Yu-Chung
Author_Institution
Shih Hsin Univ., Taipei
fYear
2007
fDate
5-7 Sept. 2007
Firstpage
207
Lastpage
207
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Innovative Computing, Information and Control, 2007. ICICIC '07. Second International Conference on
Conference_Location
Kumamoto
Print_ISBN
0-7695-2882-1
Type
conf
DOI
10.1109/ICICIC.2007.597
Filename
4427852
Link To Document