IEEE - Institute of Electrical and Electronics Engineers, Inc. - Threshold-GARCH Option Pricing: A Trinomial Tree Approach

2007 Second International Conference on Innovative Computing, Information and Control

Author(s): Shu-Ing Liu ; Yu-Chung Liu
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 September 2007
Conference Location: Kumamoto, Japan
Conference Date: 5 September 2007
Page(s): 207
ISBN (Paper): 0-7695-2882-1
DOI: 10.1109/ICICIC.2007.597
Regular:

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... View More

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