An Investigation Of The Impact Of Stochastic Interest Rates On The Pricing Of Equity Options
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An Investigation Of The Impact Of Stochastic Interest Rates On The Pricing Of Equity Options
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Author : Peter Carayannopoulos
language : en
Publisher:
Release Date : 1993
An Investigation Of The Impact Of Stochastic Interest Rates On The Pricing Of Equity Options written by Peter Carayannopoulos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Financial Derivatives Pricing Selected Works Of Robert Jarrow
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Author : Robert A Jarrow
language : en
Publisher: World Scientific
Release Date : 2008-10-08
Financial Derivatives Pricing Selected Works Of Robert Jarrow written by Robert A Jarrow and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-08 with Business & Economics categories.
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
On The Effect Of Stochastic Interest Rates On The Pricing Of European Call Options
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Author : Krister Rindell
language : en
Publisher:
Release Date : 1991
On The Effect Of Stochastic Interest Rates On The Pricing Of European Call Options written by Krister Rindell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
The Pricing Of Asian Options Under Stochastic Interest Rates
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Author : J. Aase Nielsen
language : en
Publisher:
Release Date : 2006
The Pricing Of Asian Options Under Stochastic Interest Rates written by J. Aase Nielsen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The purpose of this paper is to analyse the effect of stochastic interest rates on the pricing of Asian options. It is shown that a stochastic, in contrast to a deterministic, development of the term structure of interest rates has a significant influence. The price of the underlying asset, e.g. a stock or oil, and the prices of bonds are assumed to follow correlated two dimensional Ito processes. The averages considered in the Asian options are calculated on a discrete time grid, e.g. all closing prices on Wednesdays during the lifetime of the contract. The value of an Asian option will be obtained through the application of Monte Carlo simulation, and for this purpose the stochastic processes for the basic assets need not be severely restricted. However to make comparison with published results originating from models with deterministic interest rates we will stay within the setting of a Gaussian framework.
Pricing Efficiency In The Long Term Index Options Market
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Author : Anuradha Kandikuppa
language : en
Publisher:
Release Date : 1999
Pricing Efficiency In The Long Term Index Options Market written by Anuradha Kandikuppa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Options (Finance) categories.
Stochastic Volatility Option Pricing
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Author : Spiridon Floratos
language : en
Publisher:
Release Date : 2004
Stochastic Volatility Option Pricing written by Spiridon Floratos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Demand Based Option Pricing
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Author : Nicolae Garleanu
language : en
Publisher:
Release Date : 2006
Demand Based Option Pricing written by Nicolae Garleanu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Hedging (Finance) categories.
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of their unhedgeable parts. Empirically, we identify aggregate positions of dealers and end users using a unique dataset, and show that demand-pressure effects help explain well-known option-pricing puzzles. First, end users are net long index options, especially out-of-money puts, which helps explain their apparent expensiveness and the smirk. Second, demand patterns help explain the prices of single-stock options.
Volatility
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Author : Robert A. Jarrow
language : en
Publisher:
Release Date : 1998
Volatility written by Robert A. Jarrow and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Derivative securities categories.
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
A Simplified Discrete Time Approach For The Pricing Of Derivative Securities With Stochastic Interest Rates
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Author : Kaushik I. Amin
language : en
Publisher:
Release Date : 1990
A Simplified Discrete Time Approach For The Pricing Of Derivative Securities With Stochastic Interest Rates written by Kaushik I. Amin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Futures categories.
Pricing American Options With Stochastic Interest Rates
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Author : Kaushik Ishwar Amin
language : en
Publisher:
Release Date : 1992
Pricing American Options With Stochastic Interest Rates written by Kaushik Ishwar Amin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with International finance categories.