Analytical Green S Function Approximation And Option Pricing
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Analytical Green S Function Approximation And Option Pricing
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Author : Wen Cheng
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2011-10-18
Analytical Green S Function Approximation And Option Pricing written by Wen Cheng and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-18 with categories.
Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed Dyson-Taylor commutator method for autonomous equations to non-autonomous equations. Closed-form approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas.
Analytic Equity Option Pricing With Stochastic Volatility
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Author : Colin Turfus
language : en
Publisher:
Release Date : 2020
Analytic Equity Option Pricing With Stochastic Volatility written by Colin Turfus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
We consider the Heston stochastic volatility model for equity options and use operator formalism and perturbation expansion techniques to derive a formal analytic expression for the Green's function (pricing kernel). This is expanded explicitly as a perturbation series in powers of the vol of vol up to second order and used to obtain an asymptotically accurate pricing formula for vanilla equity options, replicating results obtained previously by Ito and Malliavin techniques.
Analytical Approximations To The Valuation Of American Options
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Author : Andreas Andrikopoulos
language : en
Publisher:
Release Date : 2007
Analytical Approximations To The Valuation 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 2007 with categories.
The quadratic approximation to the valuation of american options on stocks is revisited, constructing a pricing approach based on the fact that the early exercise policy should be chosen to maximize the value of the option. At the first part of the paper, we apply this approach (boundary-optimality) in the setting of the pricing model suggested in Barone-Adesi and Whaley (1987). We enrich their original valuation setting with an additional parameter, computed with the help of a boundary-optimality boundary condition. This approach enhances the accuracy performance of the Barone-Adesi and Whaley (1987) approximation. In the second part of the paper we introduce a novel approximation approach, where option value is the product of two functions, one of the being a function of time and the other one being a function of the stock price. Applying the principle that the early exercise policy should maximize option value, this alternative option pricing technique provides accurate results for american call and put options.
Controllability Of Dynamic Systems
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Author : Ara S. Avetisyan
language : en
Publisher: Cambridge Scholars Publishing
Release Date : 2018-04-03
Controllability Of Dynamic Systems written by Ara S. Avetisyan and has been published by Cambridge Scholars Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-04-03 with Science categories.
The book is about the possibilities of involvement of the well-known Green’s function method in exact or approximate controllability analysis for dynamic systems. Due to existing extensions of the Green’s function notion to nonlinear systems, the approach developed here is valid for systems with both linear and nonlinear dynamics. The book offers a number of particular examples, covering specific issues that make the controllability analysis sophisticated, such as coordinate dependent characteristics, point sources, unbounded domains, higher dimensions, and specific nonlinearities. It also offers extensive numerical analysis, which reveals both advantages and drawbacks of the approach. As such, the book will be of interest to researchers interested in the theory and practice of control, as well as PhD and Master’s students.
Valuation Empirical Analysis And Optimal Exercise Of Open End Turbo Certificates
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Author : Sebastian Paik
language : en
Publisher: University of Bamberg Press
Release Date : 2014
Valuation Empirical Analysis And Optimal Exercise Of Open End Turbo Certificates written by Sebastian Paik and has been published by University of Bamberg Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
An Introduction To Financial Option Valuation
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Author : Desmond J. Higham
language : en
Publisher: Cambridge University Press
Release Date : 2004-04-15
An Introduction To Financial Option Valuation written by Desmond J. Higham and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-04-15 with Business & Economics categories.
A textbook providing an introduction to financial option valuation for undergraduates. Solutions available from [email protected].
Asymptotic Analysis For Functional Stochastic Differential Equations
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Author : Jianhai Bao
language : en
Publisher: Springer
Release Date : 2016-11-19
Asymptotic Analysis For Functional Stochastic Differential Equations written by Jianhai Bao and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-19 with Mathematics categories.
This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, in particular, ergodicity.This brief is written for probabilists, applied mathematicians, engineers, and scientists who need to use delay systems and functional stochastic differential equations in their work. Selected topics from the brief can also be used in a graduate level topics course in probability and stochastic processes.
Data Analysis And Approximate Models
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Author : Patrick Laurie Davies
language : en
Publisher: CRC Press
Release Date : 2014-07-07
Data Analysis And Approximate Models written by Patrick Laurie Davies and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-07 with Mathematics categories.
The First Detailed Account of Statistical Analysis That Treats Models as Approximations The idea of truth plays a role in both Bayesian and frequentist statistics. The Bayesian concept of coherence is based on the fact that two different models or parameter values cannot both be true. Frequentist statistics is formulated as the problem of estimating the "true but unknown" parameter value that generated the data. Forgoing any concept of truth, Data Analysis and Approximate Models: Model Choice, Location-Scale, Analysis of Variance, Nonparametric Regression and Image Analysis presents statistical analysis/inference based on approximate models. Developed by the author, this approach consistently treats models as approximations to data, not to some underlying truth. The author develops a concept of approximation for probability models with applications to: Discrete data Location scale Analysis of variance (ANOVA) Nonparametric regression, image analysis, and densities Time series Model choice The book first highlights problems with concepts such as likelihood and efficiency and covers the definition of approximation and its consequences. A chapter on discrete data then presents the total variation metric as well as the Kullback–Leibler and chi-squared discrepancies as measures of fit. After focusing on outliers, the book discusses the location-scale problem, including approximation intervals, and gives a new treatment of higher-way ANOVA. The next several chapters describe novel procedures of nonparametric regression based on approximation. The final chapter assesses a range of statistical topics, from the likelihood principle to asymptotics and model choice.
Computational Finance And Its Applications Iii
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Author : M. Costantino
language : en
Publisher: WIT Press
Release Date : 2008
Computational Finance And Its Applications Iii written by M. Costantino and has been published by WIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
Featuring papers from the Third International Conference on Computational Finance and its Applications, the text includes papers that encompass a wide range of topics such as modern financial services technologies, derivatives pricing, portfolio management and asset allocation, and intelligent trading agents.
The New Palgrave Dictionary Of Money And Finance
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Author : John Eatwell
language : en
Publisher: Springer
Release Date : 1992-10-14
The New Palgrave Dictionary Of Money And Finance written by John Eatwell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-10-14 with Business & Economics categories.
The first reference work ever to be awarded the Eccles Prize for Excellence in Economic Writing from Columbia Business School. Continuing in the tradition of The New Palgrave , this 3-volume set provides an unparalleled guide to modern money, banking and finance. In over 1,000 substantial essays by leading academic and professional authorities, it provides the most comprehensive analysis available of contemporary theory and the fast-evolving global monetary and financial framework. In its scope and depth of coverage, it is indispensable for the academic and practitioner alike.