user
0
Su pedido

Tu pedido

Su carro de la compra está vacío

Materias

Market-Conform Valuation Of Options.

Market-Conform Valuation Of Options.

Compartir en:

(0 Comentarios)
Comenta y valora este libro

pvp.56,10 €

Sin Stock. Posibilidad entre 11 y 20 dias

  • ISBN:9783540308379
  • Editorial: Springer
  • Fecha de la edición:
  • Encuadernación:
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:104
  • Idiomas:

Materias:

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.

Otros libros de Economía Cuantitativa