On The Valuation Of American Exchange Options
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On The Valuation Of American Exchange Options
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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.
The Valuation Of American Exchange Options With Application To Real Options
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Author : Peter Carr
language : en
Publisher:
Release Date : 1994*
The Valuation Of American Exchange Options With Application To Real Options written by Peter Carr 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.
The Valuation Of American Options On Multiple Assets
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Author : Jerome Detemple
language : en
Publisher:
Release Date : 2011
The Valuation Of American Options On Multiple Assets written by Jerome Detemple 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.
In this paper we provide valuation formulas for several types of American options on two or more assets. First we characterize the optimal exercise regions and provide valuation formulas for a number of American option contracts on multiple underlying assets with convex payoff functions. Examples include options on the maximum of two assets, dual strike options, spread options, exchange options, options on the product and powers of the product, and options on the arithmetic average of two assets. Second, we also consider a class of contracts with non-convex payoffs, such as American capped exchange options. For this option we explicitly identify the optimal exercise boundary and provide a decomposition of the price in terms of a capped exchange option with automatic exercise at the cap and an early exercise premium involving the benefits of exercising prior to reaching the cap.
The Valuation Of The American Premium In The Foreign Currency Options Market
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Author : Philippe Jorion
language : en
Publisher:
Release Date : 1987
The Valuation Of The American Premium In The Foreign Currency Options Market written by Philippe Jorion and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Currency question categories.
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.
Financial Options
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Author : Stephen Figlewski
language : en
Publisher: McGraw-Hill Companies
Release Date : 1990
Financial Options written by Stephen Figlewski and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.
Financial Options links option theory with practical applications. Readers will find this book's approach simple to follow, with information organized for easy access that includes: institutional and theoretical frameworks for understanding options and option markets; how to apply option pricing models to specific types of markets; the numerical methods that must be applied to solve many option valuation problems.
Foreign Exchange Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-20
Foreign Exchange Option Pricing written by Iain J. Clark 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 2011-10-20 with Business & Economics categories.
This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Report Of The Special Study Of The Options Markets To The Securities And Exchange Commission
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Author : United States. Securities and Exchange Commission. Special Study of the Options Markets
language : en
Publisher:
Release Date : 1979
Report Of The Special Study Of The Options Markets To The Securities And Exchange Commission written by United States. Securities and Exchange Commission. Special Study of the Options Markets and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Options (Finance) categories.
Options On Foreign Exchange
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Author : David F. DeRosa
language : en
Publisher: John Wiley & Sons
Release Date : 2000-01-18
Options On Foreign Exchange written by David F. DeRosa 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 2000-01-18 with Business & Economics categories.
Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC
Derivatives Risk Management Value
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Author : Mondher Bellalah
language : en
Publisher: World Scientific
Release Date : 2010
Derivatives Risk Management Value written by Mondher Bellalah and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
19.1. Numerical analysis and simulation techniques : an introduction to finite difference methods. 19.2. Application to European options on non-dividend paying stocks. 19.3. Valuation of American options with a composite volatility. 19.4. Simulation methods : Monte-Carlo method. ch. 20. Numerical methods and partial differential equations for European and American derivatives with complete and incomplete information. 20.1. Valuation of American calls on dividend-paying stocks. 20.2. American puts on dividend-paying stocks. 20.3. Numerical procedures in the presence of information costs : applications. 20.4. Convertible bonds. 20.5. Two-factor interest rate models and bond pricing within information uncertainty. 20.6. CBs pricing within information uncertainty -- pt. VIII. Exotic derivatives. ch. 21. Risk management : exotics and second-generation options. 21.1. Exchange options. 21.2. Forward-start options. 21.3. Pay-later options. 21.4. Simple chooser options. 21.5. Complex choosers. 21.6. Compound options. 21.7. Options on the maximum (minimum). 21.8. Extendible options. 21.9. Equity-linked foreign exchange options and quantos. 21.10. Binary barrier options. 21.11. Lookback options. ch. 22. Value at risk, credit risk, and credit derivatives. 22.1. VaR and riskmetrics : definitions and basic concepts. 22.2. Statistical and probability foundation of VaR. 22.3. A more advanced approach to VaR. 22.4. Credit valuation and the creditmetrics approach. 22.5. Default and credit-quality migration in the creditmetrics approach. 22.6. Credit-quality correlations. 22.7. Portfolio management of default risk in the Kealhofer, McQuown and Vasicek (KMV) approach. 22.8. Credit derivatives : definitions and main concepts. 22.9. The rating agencies models and the proprietary models.