| Description |
1 online resource (viii, 104 pages) : illustrations |
| Series |
Lecture notes in economics and mathematical systems, 0075-8442 ; 571 |
|
Lecture notes in economics and mathematical systems ; 571. 0075-8442
|
| Contents |
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 |
| Summary |
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 |
| Analysis |
economie |
|
economics |
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bedrijfswetenschap |
|
management science |
|
finance |
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bankwezen |
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banking sector |
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Management studies, Business Administration, Organizational Science (General) |
|
Economics (General) |
|
Management, bedrijfskunde, organisatiekunde (algemeen) |
|
Economie (algemeen) |
| Bibliography |
Includes bibliographical references |
| Notes |
Summary in German |
|
Print version record |
| In |
Springer e-books |
| Subject |
Options (Finance) -- Prices
|
|
BUSINESS & ECONOMICS -- Investments & Securities -- Options.
|
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Affaires.
|
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Science économique.
|
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Economie de l'entreprise.
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Options (Finance) -- Prices
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Opties.
|
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Simulatiemodellen.
|
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Monte Carlo-methode.
|
| Form |
Electronic book
|
| ISBN |
9783540308386 |
|
3540308385 |
|
3540308377 |
|
9783540308379 |
|
6610607931 |
|
9786610607938 |
|
