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...

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Bibliographic Details
Main Authors: Sang Woo Heo, Yalçın Sarol, Jun Gyu Kang
Format: Article
Language:English
Published: People & Global Business Association (P&GBA) 2010-09-01
Series:Global Business and Finance Review
Subjects:
fbs
Online Access:http://www.gbfrjournal.org/pds/journal/thesis/20150622145930-AP38J.pdf

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