An Analytical Approximation For Pricing Vwap Options

DOWNLOAD

Download An Analytical Approximation For Pricing Vwap Options PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get An Analytical Approximation For Pricing Vwap Options book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

An Analytical Approximation For Pricing Vwap Options

DOWNLOAD
Author : Hideharu Funahashi
language : en
Publisher:
Release Date : 2019

An Analytical Approximation For Pricing Vwap Options written by Hideharu Funahashi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

This paper proposes a unified approximation method for various options whose payoffs depend on the volume weighted average price (VWAP). Despite their popularity in practice, quite few pricing models have been developed in the literature. Also, in previous works, the underlying asset process has been restricted to a geometric Brownian motion. In contrast, our method is applicable to the general class of continuous Markov processes such as local volatility models, stochastic volatility models, and their combinations. Moreover, our method can be used for any type of VWAP options with fixed-strike, floating-strike, continuously sampled, discretely sampled, forward-start, and in-progress transactions.

On The Valuation Of American Exchange Options

DOWNLOAD
Author : Andreas Andrikopoulos
language : en
Publisher:
Release Date : 2009

On The Valuation Of American Exchange Options written by Andreas Andrikopoulos 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.

We adopt a quadratic approach to the valuation of the option to exchange one asset for another, when the option owner has the right to exercise prior to option expiration. Accurate pricing results are obtained and tested against competitive models in the literature, building on the hypothesis that option value is the product of two functions, one being a function of time, and the other one being a function of the stock prices.

Growing Presence Of Real Options In Global Financial Markets

DOWNLOAD
Author : John W. Kensinger
language : en
Publisher: Emerald Group Publishing
Release Date : 2017-12-13

Growing Presence Of Real Options In Global Financial Markets written by John W. Kensinger and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-13 with Business & Economics categories.

The broad theme of this volume of Research in Finance is “Comparing the Influence upon Equity Valuation of Strategy Compared with Cash Flow Expectations.” Contributions assess the strong role of strategy in equity valuation, compared with valuation of expected dividends.

The Quadratic Approximation For The Value Of American Options

DOWNLOAD
Author : Andreas Andrikopoulos
language : en
Publisher:
Release Date : 2013

The Quadratic Approximation For The Value Of American Options written by Andreas Andrikopoulos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

The valuation of put options with early-exercise opportunities constitutes a major challenge of asset pricing. The option-theoretic response to this challenge relies on the estimation of the optimal exercise boundary. This paper introduces a novel quadratic approximation for the valuation of American options on common stock. The paper's contribution lies in the tradition of semi-analytical approximation of American put options, which was put forward in Barone-Adesi and Whaley (1987). Assuming that the interest rate and the volatility are constant, the early-exercise premium is modeled as a product of two functions, one being a function of time and the other being a function of the stock price. The numerical results demonstrate the accuracy of the method, over competing alternatives such as the Barone-Adesi and Whaley (1987) algorithm.

Exotic Options Pricing Under Stochastic Volatility

DOWNLOAD
Author : Nabil Tahani
language : en
Publisher:
Release Date : 2012

Exotic Options Pricing Under Stochastic Volatility written by Nabil Tahani 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.

This paper proposes an analytical approximation to price exotic options within a stochastic volatility framework. Assuming a general mean reverting process for the underlying asset and a square-root process for the volatility, we derive an approximation for option prices using a Taylor expansion around two average defined volatilities. The moments of the average volatilities are computed analytically at any order using a Frobenius series solution to some ordinary differential equation. Pricing some exotics such as barrier and digital barrier options, the approximation is found to be very efficient and convergent even at low Taylor expansion order.

A Mean Reverting Stochastic Volatility Option Pricing Model With An Analytic Solution

DOWNLOAD
Author : Henrik Andersson
language : en
Publisher:
Release Date : 2002

A Mean Reverting Stochastic Volatility Option Pricing Model With An Analytic Solution written by Henrik Andersson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.

In this paper we derive a closed form approximation to a stochastic volatility option-pricing model and propose a variant of EGARCH for parameter estimation. The model thereby provides a consistent approach to the problem of option pricing and parameter estimation. Using Swedish stocks, the model provides a good fit to the heteroscedasticity prevalent in the time-series. The stochastic volatility model also prices options on the underlying stock more accurately than the traditional Black-Scholes formula. This result holds for both historic and implied volatility. A large part of the volatility smile that is observed for options of different maturity and exercise prices is thereby explained.

Analytic Approximation For Prices Of American Options Time Dependent Settings Proportional And Discrete Dividends

DOWNLOAD
Author : Yuriy Shkolnikov
language : en
Publisher:
Release Date : 2014

Analytic Approximation For Prices Of American Options Time Dependent Settings Proportional And Discrete Dividends written by Yuriy Shkolnikov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

The paper introduces a fast analytic price approximations for American options on log-normal or close to log-normal (DVM) underlying assets with discrete time-dependent parameters (term structure) and two types of dividends: proportional and discrete-strike convention.

Inspired By Finance

DOWNLOAD
Author : Yuri Kabanov
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-10-23

Inspired By Finance written by Yuri Kabanov 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 2013-10-23 with Mathematics categories.

The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.

Vwap Trading Indicator For Beginners By Lalit Mohanty

DOWNLOAD
Author : Lalit Prasad Mohanty
language : en
Publisher: Independently Published
Release Date : 2024-03-05

Vwap Trading Indicator For Beginners By Lalit Mohanty written by Lalit Prasad Mohanty and has been published by Independently Published this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-03-05 with Business & Economics categories.

VWAP trading indicator for beginners by Lalit Mohanty Table of Contents Chapter 1: Introduction to VWAP Trading Understanding VWAP (Volume Weighted Average Price) Importance of VWAP in Trading Historical Development of VWAP Chapter 2: Basics of Market Structure Order Types and Execution Market Participants and their Impact on VWAP Market Microstructure and VWAP Chapter 3: Setting Up Your Trading Platform Choosing the Right Trading Platform Configuring VWAP on Different Platforms Customizing VWAP Parameters Chapter 4: Calculating VWAP Mathematical Formulas Real-Time VWAP Calculation Intraday vs. Daily VWAP Chapter 5: VWAP as a Benchmark Comparing Trades Against VWAP Assessing Trade Performance Using VWAP Limitations of VWAP as a Benchmark Chapter 6: Using VWAP in Trend Analysis Identifying Trends with VWAP Trend Reversals vs. Continuations Integrating VWAP with Other Technical Indicators Chapter 7: VWAP and Volume Analysis Analyzing Volume Profiles Volume Clusters and Breakouts Correlating Volume with Price Movements Chapter 8: Basic VWAP Trading Strategies Mean Reversion Strategies Momentum Strategies Opening Range Breakouts Chapter 9: Intraday VWAP Strategies Opening Strategies Midday Strategies Closing Strategies Chapter 10: Swing Trading with VWAP Swing Trading Basics Using VWAP to Identify Swing Points Managing Risk in Swing Trades Chapter 11: Options Trading with VWAP Incorporating VWAP into Options Strategies Implied Volatility and VWAP Using VWAP to Time Options Trades Chapter 12: Advanced VWAP Techniques Advanced Statistical Analysis Machine Learning and VWAP Adaptive VWAP Strategies Chapter 13: VWAP and Market Sentiment Sentiment Analysis and VWAP News and Event Impact on VWAP Trading Against or with Market Sentiment Chapter 14: VWAP and Algorithmic Trading Algorithmic Trading Overview Incorporating VWAP into Algorithms High-Frequency Trading and VWAP Chapter 15: Developing a VWAP Trading Plan Creating a Comprehensive Trading Plan Risk Management with VWAP Backtesting VWAP Strategies Chapter 16: Psychological Aspects of VWAP Trading Emotions and Trading Patience and Discipline with VWAP Overcoming Common Mistakes Chapter 17: VWAP in Different Markets Applying VWAP to Equities VWAP in Forex and Commodities VWAP in Cryptocurrency Markets Chapter 18: Real-world Case Studies Analyzing Successful VWAP Trades Learning from Failed Trades Lessons from Notable Market Events Chapter 19: Review of Trading Psychology Mastering Emotional Discipline Developing a Winning Mindset Dealing with Trading Stress Chapter 20: Evaluating Market Conditions with VWAP Volatility and VWAP Market Regimes and VWAP Adapting to Changing Market Conditions Chapter 21: Integrating Fundamental Analysis with VWAP Economic Indicators and VWAP Earnings Reports and VWAP Mergers and Acquisitions Impact on VWAP Chapter 22: Building Custom VWAP Strategies Chapter 23: VWAP and Seasonal Trends Chapter 24: VWAP and Risk Management Chapter 25: Trading ETFs with VWAP Chapter 26: VWAP and Market Manipulation Chapter 27: Social Trading and VWAP Chapter 28: Continuous Learning and Adaptation Chapter 29: The Future of VWAP Trading

Closed Form Approximations For Spread Option Prices And Greeks

DOWNLOAD
Author : Minqiang Li
language : en
Publisher:
Release Date : 2019

Closed Form Approximations For Spread Option Prices And Greeks written by Minqiang Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

We develop a new closed-form approximation method for pricing spread options. Numerical analysis shows that our method is more accurate than existing analytical approximations. Our method is also extremely fast, with computing time more than two orders of magnitude shorter than one-dimensional numerical integration. We also develop closed-form proximations for the greeks of spread options. In addition, we analyze the price sensitivities of spread options and provide lower and upper bounds for digital spread options. Our method enables the accurate pricing of a bulk volume of spread options with different specifications in real time, which offers traders a potential edge in financial markets. The closed-form approximations of greeks serve as valuable tools in financial applications such as dynamic hedging and Value-at-Risk calculations. The availability of a closed-form formula for spread options also helps us understand and design real and financial contracts with embedded spread-option-like features.