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Market-Conform Valuation of Options (Lecture Notes in Economics and Mathematical Systems) [Paperback]

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Item description for Market-Conform Valuation of Options (Lecture Notes in Economics and Mathematical Systems) by Tobias Herwig...

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.

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Item Specifications...

Pages   104
Est. Packaging Dimensions:   Length: 9.21" Width: 5.91" Height: 0.31"
Weight:   0.44 lbs.
Binding  Softcover
Release Date   Feb 27, 2006
Publisher   Springer
ISBN  3540308377  
ISBN13  9783540308379  

Availability  115 units.
Availability accurate as of Oct 21, 2016 05:22.
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1Books > Special Features > New & Used Textbooks > Business & Finance > Economics
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6Books > Subjects > Reference
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9Books > Subjects > Science > Reference > General

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