Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download A Replication Method Of Generalized Static Hedging Of Pricing American Options full books in PDF, epub, and Kindle. Read online A Replication Method Of Generalized Static Hedging Of Pricing American Options ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Download or read book A Replication Method of Generalized Static Hedging of Pricing American Options written by and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : 楊承憲
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Generalized Static Hedging Method of American Up-and-out Put Options Under Stochastic Volatility Model written by 楊承憲 and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : San-Lin Chung
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Static Hedging and Pricing American Options written by San-Lin Chung and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper utilizes the static portfolio approach of Derman, Ergener, and Kani (1995) and Carr, Ellis, and Gupta (1998) to hedge and price American options under the Black-Scholes (1973) model and the constant elasticity of variance (CEV) model of Cox (1975). The static hedge portfolio (SHP) of an American option is formulated by applying the value-matching and smooth-pasting conditions at the early exercise boundaries. The numerical results indicate that the pricing efficiency of our static hedging approach is comparable to some recent advanced numerical methods such as Broadie and Detemple's (1996) binomial Black-Scholes method with Richardson extrapolation (BBSR). Furthermore, our static hedging approach provides simple and intuitive derivations of the early exercise boundaries near expiration.
Author : David Goldenberg
Publisher : Routledge
ISBN 13 : 1317423550
Total Pages : 518 pages
Book Rating : 4.3/5 (174 download)
Download or read book Derivatives Markets written by David Goldenberg and published by Routledge. This book was released on 2016-03-02 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives Markets is a thorough and well-presented textbook that offers readers an introduction to derivatives instruments, with a gentle introduction to mathematical finance, and provides a working knowledge of derivatives to a wide area of market participants. This new and accessible book provides a lucid, down-to-earth, theoretically rigorous but applied introduction to derivatives. Many insights have been discovered since the seminal work in the 1970s and the text provides a bridge to and incorporates them. It develops the skill sets needed to both understand and to intelligently use derivatives. These skill sets are developed in part by using concept checks that test the reader's understanding of the material as it is presented. The text discusses some fairly sophisticated topics not usually discussed in introductory derivatives texts. For example, real-world electronic market trading platforms such as CME’s Globex. On the theory side, a much needed and detailed discussion of what risk-neutral valuation really means in the context of the dynamics of the hedge portfolio. The text is a balanced, logical presentation of the major derivatives classes including forward and futures contracts in Part I, swaps in Part II, and options in Part III. The material is unified by providing a modern conceptual framework and exploiting the no-arbitrage relationships between the different derivatives classes. Some of the elements explained in detail in the text are: Hedging, Basis Risk, Spreading, and Spread Basis Risk Financial Futures Contracts, their Underlying Instruments, Hedging and Speculating OTC Markets and Swaps Option Strategies: Hedging and Speculating Risk-Neutral Valuation and the Binomial Option Pricing Model Equivalent Martingale Measures: The Modern Approach to Option Pricing Option Pricing in Continuous Time: from Bachelier to Black-Scholes and Beyond. Professor Goldenberg’s clear and concise explanations and end-of-chapter problems, guide the reader through the derivatives markets, developing the reader’s skill sets needed in order to incorporate and manage derivatives in a corporate or risk management setting. This textbook is for students, both undergraduate and postgraduate, as well as for those with an interest in how and why these markets work and thrive.
Author : Mark Suresh Joshi
Publisher : Cambridge University Press
ISBN 13 : 9780521823555
Total Pages : 496 pages
Book Rating : 4.8/5 (235 download)
Download or read book The Concepts and Practice of Mathematical Finance written by Mark Suresh Joshi and published by Cambridge University Press. This book was released on 2003-12-24 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems. The author brings to this book a blend of practical experience and rigorous mathematical background, and supplies here the working knowledge needed to become a good quantitative analyst.
Author : Robert A. Jarrow
Publisher : World Scientific
ISBN 13 : 9812819223
Total Pages : 609 pages
Book Rating : 4.8/5 (128 download)
Download or read book Financial Derivatives Pricing written by Robert A. Jarrow and published by World Scientific. This book was released on 2008 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Author : Emanuel Derman
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Static Options Replication written by Emanuel Derman and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article presents a practical and useful method for replicating or hedging a target stock option with a portfolio of other options. It shows how to construct a replicating portfolio of standard options with varying strikes and maturities and fixed portfolio weights. Once constructed, this portfolio will replicate the value of the target option for a wide range of stock prices and times before expiration, without requiring further weight adjustments. We call this method static replication. It makes no assumptions beyond those of standard options theory. You can use the technique to construct static hedges for exotic options, thereby minimizing dynamic hedging risk and costs. You can use it to structure exotic payoffs from standard options. Finally, you can use it as an aid in valuing exotic options, since it lets you decompose the exotic option into a portfolio of standard options whose market prices and bid-ask spreads may be better known.
Author : Thorsten Rheinlander
Publisher : World Scientific
ISBN 13 : 9814462152
Total Pages : 244 pages
Book Rating : 4.8/5 (144 download)
Download or read book Hedging Derivatives written by Thorsten Rheinlander and published by World Scientific. This book was released on 2011-05-18 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options.This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field.
Author : Hanjie Shi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (951 download)
Download or read book Option Pricing written by Hanjie Shi and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, I will discuss the fundamental methods to value the options in Financial Mathematics, more specifically, the discrete time Binomial Tree Model and a generalization, the Trinomial Tree Model. This is based on the assumption that the model is risk-free and we use the replication portfolio method to find option price. In addition, I will show that the option price is depending on the numbers of steps of the underlying stock price go up/down in a small amount and the numbers of steps of stock price go up/down in large amount. But it doesn't depend on when it will occur. This shows that the option price is not only depending on the replication method. This study explains that the binomial model can only work with stock prices with low volatility.
Author : Rüdiger Kiesel
Publisher : World Scientific
ISBN 13 : 9814280119
Total Pages : 414 pages
Book Rating : 4.8/5 (142 download)
Download or read book Alternative Investments and Strategies written by Rüdiger Kiesel and published by World Scientific. This book was released on 2010 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include : credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.
Author : Nassim Nicholas Taleb
Publisher : John Wiley & Sons
ISBN 13 : 9780471152804
Total Pages : 536 pages
Book Rating : 4.1/5 (528 download)
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Author : Giuseppe Campolieti
Publisher : CRC Press
ISBN 13 : 1439892431
Total Pages : 826 pages
Book Rating : 4.4/5 (398 download)
Download or read book Financial Mathematics written by Giuseppe Campolieti and published by CRC Press. This book was released on 2014-03-12 with total page 826 pages. Available in PDF, EPUB and Kindle. Book excerpt: Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones. Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.
Author : Sebastian Paik
Publisher : University of Bamberg Press
ISBN 13 : 3863091787
Total Pages : 365 pages
Book Rating : 4.8/5 (63 download)
Download or read book Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates written by Sebastian Paik and published by University of Bamberg Press. This book was released on 2014 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Justin Kirkby
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Static Hedging and Pricing of Exotic Options with Payoff Frames written by Justin Kirkby and published by . This book was released on 2018 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a general framework for statically hedging European-style options with nonstandard terminal payoffs which can be applied to mixed static-dynamic and semi-static hedges for many path dependent exotic options. This framework provides a new model-free method of derivatives pricing that builds on recent advances in transform-based numerical approaches. The goal is achieved by separating the hedging and pricing problems to obtain model-free replicating strategies. Once prices have been obtained for a set of basis payoffs, the pricing and hedging of financial securities with arbitrary payoffs functions is accomplished by computing a set of "hedge coefficients" for that security. This method is particularly well suited for pricing baskets of options simultaneously, and is robust to discontinuities of payoffs. In addition, the method enables a systematic comparison of the value of a payoff (or portfolio) across a set of competing model specifications with implications for security design.
Author : Jing-Zhi Huang
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (129 download)
Download or read book Pricing and Hedging American Options written by Jing-Zhi Huang and published by . This book was released on 2008 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we present a new method for pricing and hedging American options along with an efficient implementation procedure. The proposed method is efficient and accurate in computing both option values and various option hedge parameters. We demonstrate the computation accuracy and efficiency of this numerical procedure in relation to other competing approaches. We also show how the method can be applied to the case of any American option for which a closed-form solution exists for the corresponding European option.
Author : Marco Avellaneda
Publisher : World Scientific
ISBN 13 : 9814490598
Total Pages : 363 pages
Book Rating : 4.8/5 (144 download)
Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) written by Marco Avellaneda and published by World Scientific. This book was released on 2002-01-18 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
Author : Leonid Kogan
Publisher : Forgotten Books
ISBN 13 : 9780666532459
Total Pages : 82 pages
Book Rating : 4.5/5 (324 download)
Download or read book Pricing American Options written by Leonid Kogan and published by Forgotten Books. This book was released on 2018-02-27 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Pricing American Options: A Duality Approach The main practical contribution of this paper is a general algorithm for constructing upper and lower bounds on the true price of the option using any approximation to the option price. We show that our bounds are tight, so that if the initial approximation is close to the true price of the option, the bounds are also guaranteed to be close. In addition, we explicitly characterize the worst-case performance of the pricing bounds. The computation of the lower bound is straightforward and relies on simulating the suboptimal exercise strategy implied by the approximate option price. The upper bound is obtained by simulating a different stochastic process that is determined by choosing an appropriate supermartingale. We justify this procedure by representing the American option price as a solution of a dual minimization problem, which is the main theoretical result of this paper. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
