Market-Conform Valuation of Options

Market-Conform Valuation of Options

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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.

Introduction
Construction of Arbitrage-Free Implied Trees: A New Approach
Market-Conform Option Valuation: An Empirical Assessment of Alternative Approaches
Market-Conform Valuation of American-Style Options via Monte Carlo Simulation
Synopsis.
ISBN 9783540308386
Artikelnummer 9783540308386
Medientyp E-Book - PDF
Auflage 2. Aufl.
Copyrightjahr 2006
Verlag Springer-Verlag
Umfang 106 Seiten
Sprache Englisch
Kopierschutz Digitales Wasserzeichen