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• W2255408363 abstract "On the basis that the most instruments traded on options markets are American, we extend the time-changed Levy processes to generate the analytical upper and lower bounds of American options and options on futures when interest rates are higher or lower than the stock dividend rates. The analytical bounds derived are not only very tight and accurate for American option pricing, but also offer a quasi-closed form solution which is able to enhance evaluation and hedging efficiency in real world markets. We also incorporate a stochastic interest rates factor given by the mean-reverting square-root process into the time-changed Levy processes, consistent with the realistic phenomena of asset returns, as the leptokurtic and asymmetric features, interest and volatility are stochastic over time, and returns and volatility are negatively correlated. Hence, our model can encompass almost all the prevailing characteristics of the models which exist in the comprehensive option literature." @default.
• W2255408363 created "2016-06-24" @default.
• W2255408363 creator A5018367089 @default.
• W2255408363 date "2009-01-01" @default.
• W2255408363 modified "2023-09-24" @default.
• W2255408363 title "Analytical Upper Bounds for American Option Prices with Time-Changed Lévy Processes" @default.
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• W2255408363 doi "https://doi.org/10.2139/ssrn.1594629" @default.
• W2255408363 hasPublicationYear "2009" @default.
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