Pricing Options With Futures Style Margining

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Pricing Options With Futures Style Margining

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Author : Alan White
language : en
Publisher: Routledge
Release Date : 2014-02-04

Pricing Options With Futures Style Margining written by Alan White and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-04 with Business & Economics categories.

This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.

Pricing Options With Futures Style Margining

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Author : ALAN. WHITE
language : en
Publisher:
Release Date : 2016

Pricing Options With Futures Style Margining written by ALAN. WHITE and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with BUSINESS & ECONOMICS categories.

First Published in 2000. In 1973, options on stock became available on an organized exchange when the Chicago Board of Trade created the Chicago Board Options Exchange (CBOE). Options existed prior to this time, but the contracts lacked standardization and a central exchange. Since that introduction, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Although a great deal of work has been done in the area of option pricing, there still exists a number of problems related to estimating or predicting option prices. The purpose of this study is to utilize Genetic Adaptive Neural Networks (GANNs) to develop a method of pricing futures options with futures-style margining.

The Pricing Of Interest Rate Options With Futures Style Margining

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Author : Alan Jay White
language : en
Publisher:
Release Date : 1996

The Pricing Of Interest Rate Options With Futures Style Margining written by Alan Jay White and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

The Proposed Introduction Of Futures Style Margining In The U S

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Author : George W. Kutner
language : en
Publisher:
Release Date : 2001

The Proposed Introduction Of Futures Style Margining In The U S written by George W. Kutner 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.

We extend the quadratic approximation method to examine American-style options traded using futures-style margining and show that an early exercise premium can exist when the cost of carry is negative. Empirical results based on a reduced form of the model using futures-style call options traded on the Australian All Ordinaries Share Price Index, are consistent with previous research - call option early exercise premiums are economically zero. Full option prices are examined by comparing observed futures-style with theoretical stock-style values. We find futures-style exceed stock-style values and argue that the increase results from improvements in liquidity. The findings are particularly relevant given the pending decision at the Commodity Futures Trading Commission to introduce a futures-style system in the United States.

Pricing Options With Futures Style Margining

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Author : Alan White
language : en
Publisher: Routledge
Release Date : 2014-02-04

Pricing Options With Futures Style Margining written by Alan White and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-04 with Business & Economics categories.

This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.

Valuation Of American Options With Futures Style Margining On Long Gilt Futures

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Author : C. Gavin O'Neill
language : en
Publisher:
Release Date : 1995

Valuation Of American Options With Futures Style Margining On Long Gilt Futures written by C. Gavin O'Neill and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Futures categories.

On The Efficacy Of A Portfolio Approach To Margin Setting In A Futures Style Settlement System

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Author : Paul H. Kupiec
language : en
Publisher:
Release Date : 1993

On The Efficacy Of A Portfolio Approach To Margin Setting In A Futures Style Settlement System written by Paul H. Kupiec and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Efficient market theory categories.

Boundary Conditions For Spi Futures Options With Daily Futures Style Margin Payments

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Author : Garry Twite
language : en
Publisher:
Release Date : 1993

Boundary Conditions For Spi Futures Options With Daily Futures Style Margin Payments written by Garry Twite and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Futures categories.

Currency Derivatives

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Author : David F. DeRosa
language : en
Publisher: John Wiley & Sons
Release Date : 1998-09-07

Currency Derivatives 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 1998-09-07 with Business & Economics categories.

Mit über einer Billion US Dollar Umsatz stellt der Devisenhandel weltweit den größten Markt dar. In diesem Markt sind Währungsderivate zu einem bevorzugten Handelsinstrument geworden, das von Großbanken, Brokerhäusern, Hedge Funds (spekulativ ausgerichteter Fonds, der mit Hilfe von Derivaten seine Gewinne zu optimieren versucht) und Handelsberatern eingesetzt wird. Zwar sind diese Instrumente heute komplexer denn je, aber sie sind ein unverzichtbares Mittel des Risikomanagements im Devisenhandel. Herausgegeben von führenden Devisenhändlern und Analysten, ist dieses Buch Basislektüre für jeden, der sich in diesem Bereich bewegt. Eine Sammlung der 20 besten und meist zitierten Beiträge zu Währungsderivaten, Preistheorie und Anwendungen von Hedging-Methoden (10/98)

Put Call Parity With Futures Style Margining

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Author : Stephen Andrew Easton
language : en
Publisher:
Release Date : 1996

Put Call Parity With Futures Style Margining written by Stephen Andrew Easton and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Options (Finance) categories.