American Style Derivatives
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American Style Derivatives
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Author : Jerome Detemple
language : en
Publisher: CRC Press
Release Date : 2005-12-09
American Style Derivatives written by Jerome Detemple and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-09 with Business & Economics categories.
Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and extends the analysis to American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options. It also reviews numerical methods for option pricing and compares their relative performance. Ideal for students and researchers in quantitative finance, this material is accessible to those with a background in stochastic processes or derivative securities.
Multilevel Dual Approach For Pricing American Style Derivatives
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Author : Denis Belomestny
language : en
Publisher:
Release Date : 2011
Multilevel Dual Approach For Pricing American Style Derivatives written by Denis Belomestny and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Efficient Pricing Of High Dimensional American Style Derivatives
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Author : Christian Jonen
language : en
Publisher:
Release Date : 2011
Efficient Pricing Of High Dimensional American Style Derivatives written by Christian Jonen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Derivative Securities And Difference Methods
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Author : You-lan Zhu
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Derivative Securities And Difference Methods written by You-lan Zhu and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.
Valuation Of American Style Derivatives Within The Stochastic Volatility Model Of Heston
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Author : Tilman Sayer
language : de
Publisher:
Release Date : 2012
Valuation Of American Style Derivatives Within The Stochastic Volatility Model Of Heston written by Tilman Sayer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Pricing Derivative Securities
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Author : T. W. Epps
language : en
Publisher: World Scientific
Release Date : 2007
Pricing Derivative Securities written by T. W. Epps and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Quasirandom Tree Method For Pricing American Style Derivatives
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Author :
language : en
Publisher:
Release Date : 2001
Quasirandom Tree Method For Pricing American Style Derivatives written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Essays On American And Game Type Options
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Author : Thomas J. Emmerling
language : en
Publisher:
Release Date : 2009
Essays On American And Game Type Options written by Thomas J. Emmerling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Abstract: This dissertation explores the valuation of two particular types of financial derivatives in a complete market (Black-Scholes financial market setting); American-style and Game-type derivatives (i.e. Israeli options). Part I. With regard to American-style claims, the valuation of an American Chooser option is examined. This is a contract written on the maximum of an American put and an American call option. The early exercise premium representation of the chooser's price is derived and used to construct a system of coupled recursive integral equations for a pair of boundary components. Numerical implementations of the model based on this system are carried out and used to examine the boundary properties and the price behavior. Part II. With regard to Game-type claims, the perpetual call option and the finite-expiry American chooser and straddle options are examined. For the perpetual claim, a comparison with the known results of the perpetual cancellable put option on a nondividend paying asset is carried out. For the finite-expiry cancellable American Chooser option, we analyze the regularity properties of the value function as well as the structure of the exercise boundaries. Similar geometric properties of the exercise region (to that of the regular chooser) are obtained for this game-style chooser since the payoff upon expiry is time-independent. However, time-independence is not guaranteed inside the cancellation region for the chooser. Numerical implementations are carried out in a Cox, Ross, Rubinstein financial market setting in order to examine price behavior and to approximate the continuation and exercise regions. Next, the cancellable American Straddle contract is examined. This contract is simpler in structure than the cancellable Chooser since the payoff upon exercise and cancellation is never time-dependent. This attribute allows for a natural structure for the cancellation region for the contract that is not readily apparent in the Chooser cancellation region. Numerical implementations are carried out, once again, in a Cox, Ross, Rubinstein financial market setting in order to approximate prices and to identify optimal times to exercise and cancel the contract.
Derivatives Essentials
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Author : Aron Gottesman
language : en
Publisher: John Wiley & Sons
Release Date : 2016-06-28
Derivatives Essentials written by Aron Gottesman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-28 with Business & Economics categories.
A clear, practical guide to working effectively with derivative securities products Derivatives Essentials is an accessible, yet detailed guide to derivative securities. With an emphasis on mechanisms over formulas, this book promotes a greater understanding of the topic in a straightforward manner, using plain-English explanations. Mathematics are included, but the focus is on comprehension and the issues that matter most to practitioners—including the rights and obligations, terms and conventions, opportunities and exposures, trading, motivation, sensitivities, pricing, and valuation of each product. Coverage includes forwards, futures, options, swaps, and related products and trading strategies, with practical examples that demonstrate each concept in action. The companion website provides Excel files that illustrate pricing, valuation, sensitivities, and strategies discussed in the book, and practice and assessment questions for each chapter allow you to reinforce your learning and gauge the depth of your understanding. Derivative securities are a complex topic with many "moving parts," but practitioners must possess a full working knowledge of these products to use them effectively. This book promotes a truly internalized understanding rather than rote memorization or strict quantitation, with clear explanations and true-to-life examples. Understand the concepts behind derivative securities Delve into the nature, pricing, and offset of sensitivities Learn how different products are priced and valued Examine trading strategies and practical examples for each product Pricing and valuation is important, but understanding the fundamental nature of each product is critical—it gives you the power to wield them more effectively, and exploit their natural behaviors to achieve both short- and long-term market goals. Derivatives Essentials provides the clarity and practical perspective you need to master the effective use of derivative securities products.
Simulation Based Policy Iteration For American Style Derivatives A Multilevel Approach
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Author : Marcel Ladkau
language : en
Publisher:
Release Date : 2012
Simulation Based Policy Iteration For American Style Derivatives A Multilevel Approach written by Marcel Ladkau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Literaturverz. S. 13 - 14