caa a22 4500 605451087 CHVBK 20210128100149.0 cr unu---uuuuu 210128e20150401xx s 000 0 eng 10.1007/s11147-014-9103-2 doi (NATIONALLICENCE)springer-10.1007/s11147-014-9103-2 On pricing options with stressed-beta in a reduced form model [Elektronische Daten] [Geonwoo Kim, Hyuncheul Lim, Sungchul Lee] We consider the valuation of options with stressed-beta in a reduced form model. Under this two-state beta model, we provide the analytic pricing formulae for the European options and American options as the integral forms. Specifically, we provide the integral representation of the early exercise premium of an American put option. We use the quadrature method to evaluate the integral forms and we measure the performance of our pricing framework comparing the benchmarks set by the trinomial tree method. It turns out that our pricing framework with the quadrature methods are computationally efficient and accurate. We also calibrate the market data successfully. Springer Science+Business Media New York, 2014 Two-state beta nationallicence Option pricing nationallicence European options nationallicence American options nationallicence Quadratures nationallicence Calibration nationallicence Kim Geonwoo Department of Mathematics, Yonsei University, 120-749, Seoul, Republic of Korea aut Lim Hyuncheul Asset Trading Team, KB Investment & Securities, Seoul, Korea aut Lee Sungchul Department of Mathematics, Yonsei University, 120-749, Seoul, Republic of Korea aut Review of Derivatives Research Springer US; http://www.springer-ny.com 18/1(2015-04-01), 29-50 1380-6645 18:1<29 2015 18 11147 https://doi.org/10.1007/s11147-014-9103-2 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11147-014-9103-2 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kim Geonwoo Department of Mathematics, Yonsei University, 120-749, Seoul, Republic of Korea aut NATIONALLICENCE 700 1- Lim Hyuncheul Asset Trading Team, KB Investment & Securities, Seoul, Korea aut NATIONALLICENCE 700 1- Lee Sungchul Department of Mathematics, Yonsei University, 120-749, Seoul, Republic of Korea aut NATIONALLICENCE 773 0- Review of Derivatives Research Springer US; http://www.springer-ny.com 18/1(2015-04-01), 29-50 1380-6645 18:1<29 2015 18 11147