عنوان
پدید آورنده
موضوع
رده
HG6024 .H47 2006eb
HG6024
.
H47
2006eb
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
3540308377
(Number (ISBN
3540308385
(Number (ISBN
6610607931
(Number (ISBN
9783540308379
(Number (ISBN
9783540308386
(Number (ISBN
9786610607938
NATIONAL BIBLIOGRAPHY NUMBER
Number
b747905
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Market-conform valuation of options /
General Material Designation
[Book]
First Statement of Responsibility
Tobias Herwig.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Berlin :
Name of Publisher, Distributor, etc.
Springer,
Date of Publication, Distribution, etc.
©2006.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (viii, 104 pages) :
Other Physical Details
illustrations
SERIES
Series Title
Lecture notes in economics and mathematical systems,
Volume Designation
571
ISSN of Series
0075-8442 ;
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references.
CONTENTS NOTE
Text of Note
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
SUMMARY OR ABSTRACT
Text of Note
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.
ACQUISITION INFORMATION NOTE
Source for Acquisition/Subscription Address
Springer
Stock Number
978-3-540-30837-9
OTHER EDITION IN ANOTHER MEDIUM
Title
Market-conform valuation of options.
International Standard Book Number
9783540308379
PIECE
Title
Springer e-books
TOPICAL NAME USED AS SUBJECT
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.
(SUBJECT CATEGORY (Provisional
BUS-- 036040
DEWEY DECIMAL CLASSIFICATION
Number
332
.
632283
Edition
22
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG6024
Book number
.
H47
2006eb
OTHER CLASS NUMBERS
Class number
83
.
03
Class number
85
.
33
System Code
bcl
System Code
bcl
PERSONAL NAME - PRIMARY RESPONSIBILITY
Herwig, Tobias.
ORIGINATING SOURCE
Date of Transaction
20201204075827.0
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
