Valuation of American Equity Options with Quadratic Approximation Models Adopting Fractional Brownian Motion
In this article, we compare the accuracy of the American approximation models: MBAW model (Macmillian, 1986; Barone-Adesi and Whaley, 1987) and MQuad model (Ju and Zhong, 1999) as well as the Black-Scholes (B- S) model adopting fractional Brownian Motion (fBm) for three financial companies equity pu...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
2010-09-01
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| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150622145930-AP38J.pdf |