A Markup Approach To Option Pricing
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A Markup Approach To Option Pricing
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Author : Dao Xiong Teng
language : en
Publisher:
Release Date : 2010
A Markup Approach To Option Pricing written by Dao Xiong Teng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Options (Finance) categories.
At the heart of the classical Black-Scholes option pricing model lies the no arbitrage pricing principal with the assumption of a complete market which renders options as redundant assets. It is widely accepted that the market prices of options are generally inconsistent with the pricing model. In the existing literature, most papers have attributed the inconsistencies to the unrealistic assumptions of the classical Black-Scholes model. This paper proposes that even if option prices do follow the Black-Scholes model perfectly, we should not expect the market prices to coincide with prices calculated from the model. We propose two simple alternative approaches to the model on market prices of options, keeping most of the major assumptions under the classical model. We also examine their efficacies in estimating future volatilities and their efficacies in providing a perfect hedge to a long position in various options. Empirical results show some evidence that supports the alternative approaches. Results also show that for certain classifications of options, the alternative models provide a better delta-neutral portfolio.
Options
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Author : Lane Hughston
language : en
Publisher:
Release Date : 1999
Options written by Lane Hughston and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
A comprehensive and enlightening journey through the past, present and future of option pricing.
A Time Series Approach To Option Pricing
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Author : Christophe Chorro
language : en
Publisher:
Release Date : 2014-12-31
A Time Series Approach To Option Pricing written by Christophe Chorro and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-31 with categories.
Black Scholes And Beyond Option Pricing Models
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Author : Neil Chriss
language : en
Publisher: McGraw Hill Professional
Release Date : 1997
Black Scholes And Beyond Option Pricing Models written by Neil Chriss and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
A Practical Approach To Option Pricing Theory
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Author : H. Page
language : en
Publisher:
Release Date : 1994
A Practical Approach To Option Pricing Theory written by H. Page and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Options (Finance) categories.
Mathematical Modeling And Methods Of Option Pricing
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Author : Lishang Jiang
language : en
Publisher: World Scientific
Release Date : 2005
Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Science categories.
From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.
A Disturbance Attenuatin Approach To Option Pricing With Transaction Costs
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Author : Lihui Zheng
language : en
Publisher:
Release Date : 2000
A Disturbance Attenuatin Approach To Option Pricing With Transaction Costs written by Lihui Zheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Investment analysis categories.
Stochastic Dominance Option Pricing
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Author : Stylianos Perrakis
language : en
Publisher: Springer
Release Date : 2019-05-03
Stochastic Dominance Option Pricing written by Stylianos Perrakis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-03 with Business & Economics categories.
This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Working Paper 90 29 A Simple Approach To Interest Rate Option Pricing
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Author : Queen's University. School of Business. Research Program
language : en
Publisher:
Release Date : 1990
Working Paper 90 29 A Simple Approach To Interest Rate Option Pricing written by Queen's University. School of Business. Research Program and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Numerical Solution Of The American Option Pricing Problem The Finite Difference And Transform Approaches
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Author : Carl Chiarella
language : en
Publisher: World Scientific
Release Date : 2014-10-14
Numerical Solution Of The American Option Pricing Problem The Finite Difference And Transform Approaches written by Carl Chiarella and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-14 with Business & Economics categories.
The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.