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Author: Don M. Chance Publisher: John Wiley & Sons ISBN: 1118160649 Category : Business & Economics Languages : en Pages : 403
Book Description
In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Author: Don M. Chance Publisher: John Wiley & Sons ISBN: 1118160649 Category : Business & Economics Languages : en Pages : 403
Book Description
In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Author: Jerome Detemple Publisher: CRC Press ISBN: 1420034863 Category : Business & Economics Languages : en Pages : 247
Book Description
Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and extends the analysis to American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options. It also reviews numerical methods for option pricing and compares their relative performance. Ideal for students and researchers in quantitative finance, this material is accessible to those with a background in stochastic processes or derivative securities.
Author: Thomas J. Emmerling Publisher: ISBN: Category : Languages : en Pages : 344
Book Description
Abstract: This dissertation explores the valuation of two particular types of financial derivatives in a complete market (Black-Scholes financial market setting); American-style and Game-type derivatives (i.e. Israeli options). Part I. With regard to American-style claims, the valuation of an American Chooser option is examined. This is a contract written on the maximum of an American put and an American call option. The early exercise premium representation of the chooser's price is derived and used to construct a system of coupled recursive integral equations for a pair of boundary components. Numerical implementations of the model based on this system are carried out and used to examine the boundary properties and the price behavior. Part II. With regard to Game-type claims, the perpetual call option and the finite-expiry American chooser and straddle options are examined. For the perpetual claim, a comparison with the known results of the perpetual cancellable put option on a nondividend paying asset is carried out. For the finite-expiry cancellable American Chooser option, we analyze the regularity properties of the value function as well as the structure of the exercise boundaries. Similar geometric properties of the exercise region (to that of the regular chooser) are obtained for this game-style chooser since the payoff upon expiry is time-independent. However, time-independence is not guaranteed inside the cancellation region for the chooser. Numerical implementations are carried out in a Cox, Ross, Rubinstein financial market setting in order to examine price behavior and to approximate the continuation and exercise regions. Next, the cancellable American Straddle contract is examined. This contract is simpler in structure than the cancellable Chooser since the payoff upon exercise and cancellation is never time-dependent. This attribute allows for a natural structure for the cancellation region for the contract that is not readily apparent in the Chooser cancellation region. Numerical implementations are carried out, once again, in a Cox, Ross, Rubinstein financial market setting in order to approximate prices and to identify optimal times to exercise and cancel the contract.
Author: Siegfried Hecker Publisher: Springer Science & Business Media ISBN: 1461207770 Category : Science Languages : en Pages : 284
Book Description
This collection represents a unique undertaking in scientific publishing to honor Nick Metropolis, the last survivor of the World War II Manhattan Project in Los Alamos. In this volume, some of the leading scientists and humanists of our time have contributed essays related to their respective disciplines, exploring various aspects of future developments in science and society, philosophy, national security, nuclear power, pure and applied mathematics, physics and biology, particle physics, computing, and information science.
Author: Yintian Wang Publisher: ISBN: Category : Options (Finance) Languages : en Pages : 312
Book Description
"This dissertation is in the form of three essays on the topic of component and long memory GARCH models. The unifying feature of the thesis is the focus on investigating European index option evaluation using these models." --
Author: Donna Salopek Publisher: CRC Press ISBN: 9780582315945 Category : Mathematics Languages : en Pages : 132
Book Description
An American put option gives its owner the right to sell a share of stock at a given specified price on or before a given date. This book provides a detailed comparison of recent works on the American put option from both theoretical and computational approaches.
Author: Don M. Chance
Author: Gang Yu
Author: Jung-Jin Lee
Author: Don M. Chance
Author: Jerome Detemple
Author: Thomas J. Emmerling
Author: Peter Paul Carr
Author: Siegfried Hecker
Author: Manuel Wittke
Author: Yintian Wang
Author: Donna Salopek