عنوان

Market-conform valuation of options /

3540308377

3540308385

6610607931

9783540308379

9783540308386

9786610607938

b747905

Market-conform valuation of options /

[Book]

Tobias Herwig.

Berlin :

Springer,

©2006.

1 online resource (viii, 104 pages) :

illustrations

Lecture notes in economics and mathematical systems,

571

0075-8442 ;

Includes bibliographical references.

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.

0

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.

Springer

978-3-540-30837-9

Market-conform valuation of options.

9783540308379

Springer e-books

Options (Finance)-- Prices.

Options (Finances)-- Prix.

Affaires.

BUSINESS & ECONOMICS-- Investments & Securities-- Options.

Economie de l'entreprise.

Monte Carlo-methode.

Opties.

Options (Finance)-- Prices.

Science économique.

Simulatiemodellen.

BUS-- 036040

Herwig, Tobias.

20201204075827.0

pn

[Book]

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