Market-Conform Valuation of Options
Market-Conform Valuation of Options
The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.
Market-Conform Option Valuation: An Empirical Assessment of Alternative Approaches
Market-Conform Valuation of American-Style Options via Monte Carlo Simulation
Synopsis.
Introduction
Construction of Arbitrage-Free Implied Trees: A New ApproachMarket-Conform Option Valuation: An Empirical Assessment of Alternative Approaches
Market-Conform Valuation of American-Style Options via Monte Carlo Simulation
Synopsis.
Herwig, Tobias
ISBN | 9783540308386 |
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Artikelnummer | 9783540308386 |
Medientyp | E-Book - PDF |
Auflage | 2. Aufl. |
Copyrightjahr | 2006 |
Verlag | Springer-Verlag |
Umfang | 106 Seiten |
Sprache | Englisch |
Kopierschutz | Digitales Wasserzeichen |