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Analytical Approach To Value Options With State Variables Of A Levy System
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Book Synopsis Analytical Approach to Value Options with State Variables of a Levy System by : Thanh Long Nguyen
Download or read book Analytical Approach to Value Options with State Variables of a Levy System written by Thanh Long Nguyen and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present an analytical method in pricing European contingent assets, whose state variables follow a multi-dimensional Levy process. We give an explicit formula for the hypothetical European quot;two-pricequot; call option price by means of the conditional characteristic transform. The work not only unifies and extends the option pricing literature, which focuses on the use of the characteristic function, but also provides the way to formalize and and unify the valuation of the option price, the valuation of the discount bond price, the valuation of the scaled-forward price, and the valuation of the pricing measure in incomplete markets.
Download or read book Applied Mathematics written by and published by . This book was released on 2007 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analytical Approximations to the Valuation of American Options by : Andreas Andrikopoulos
Download or read book Analytical Approximations to the Valuation of American Options written by Andreas Andrikopoulos and published by . This book was released on 2007 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The quadratic approximation to the valuation of american options on stocks is revisited, constructing a pricing approach based on the fact that the early exercise policy should be chosen to maximize the value of the option. At the first part of the paper, we apply this approach (boundary-optimality) in the setting of the pricing model suggested in Barone-Adesi and Whaley (1987). We enrich their original valuation setting with an additional parameter, computed with the help of a boundary-optimality boundary condition. This approach enhances the accuracy performance of the Barone-Adesi and Whaley (1987) approximation. In the second part of the paper we introduce a novel approximation approach, where option value is the product of two functions, one of the being a function of time and the other one being a function of the stock price. Applying the principle that the early exercise policy should maximize option value, this alternative option pricing technique provides accurate results for american call and put options.
Download or read book Energy Power Risk written by George Levy and published by Emerald Group Publishing. This book was released on 2018-12-10 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book describes both mathematical and computational tools for energy and power risk management, deriving from first principles stochastic models for simulating commodity risk and how to design robust C++ to implement these models.
Book Synopsis Topics on Option Valuation and Model Calibration by :
Download or read book Topics on Option Valuation and Model Calibration written by and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Systemic Contingent Claims Analysis by : Mr.Andreas A. Jobst
Download or read book Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-02-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Book Synopsis An Analytical Approach to the Valuation of American Path- Dependent Options by : Bin Gao
Download or read book An Analytical Approach to the Valuation of American Path- Dependent Options written by Bin Gao and published by . This book was released on 1996 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :United States. Congress. House. Committee on Ways and Means. Subcommittee on Trade Publisher : ISBN 13 : Total Pages :726 pages Book Rating :4.3/5 (121 download)
Book Synopsis Options to Improve the Trade Remedy Laws by : United States. Congress. House. Committee on Ways and Means. Subcommittee on Trade
Download or read book Options to Improve the Trade Remedy Laws written by United States. Congress. House. Committee on Ways and Means. Subcommittee on Trade and published by . This book was released on 1983 with total page 726 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Book Synopsis Farm Policies And World Markets: Monitoring And Disciplining The International Trade Impacts Of Agricultural Policies by : Timothy Josling
Download or read book Farm Policies And World Markets: Monitoring And Disciplining The International Trade Impacts Of Agricultural Policies written by Timothy Josling and published by World Scientific. This book was released on 2015-03-11 with total page 367 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to provide interested readers with access to a number of articles that have been written over the years on the subject of the linkages between domestic farm policies (particularly in developed countries) and world markets for agricultural goods. The scope of the book includes the measurement of protection and the estimation of transfers to agricultural producers, the effect of these policies on consumers and the consequent impact on international trade. A major theme is that the monitoring of the trade and transfer implications of farm policies is an essential first step to addressing the need for internationally agreed disciplines on their nature and extent. The topic of trade impacts of farm policies has become important in two different market situations. When agricultural commodity prices are depressed, attention turns to the activities of countries (particularly developed countries) that support the income of their own farmers but at the expense of farmers in other countries. When prices rise, as they have done in the last five years, the question is reversed: what is the impact of the farm and food policies that restrict exports to keep domestic prices low on food security in other countries? Thus, the narrative of the monitoring of farm policies by international organizations such as the OECD and the disciplining of such policies under the rules of the WTO is as relevant today as in the 1970s when the first efforts in this direction were made.
Download or read book Applied Mechanics Reviews written by and published by . This book was released on 1985 with total page 1052 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Introduction to Econophysics by : Rosario N. Mantegna
Download or read book Introduction to Econophysics written by Rosario N. Mantegna and published by Cambridge University Press. This book was released on 1999-11-13 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
Download or read book Finance Literature Index written by and published by . This book was released on 1994 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis State Energy Policy by : Stephen W Sawyer
Download or read book State Energy Policy written by Stephen W Sawyer and published by Routledge. This book was released on 2019-06-04 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the product of the good will and hardwork of many people. The contributors, all recognized experts in their fields, are thanked for providing thoughtful, informative chapters and for accommodating editorial suggestions and revisions. Westview Press is thanked for providing the opportunity to address a serious omission in the energy literature. The Geography Department at the University of Maryland made a similarly generous commitment of secretarial staff and faciltiies. Allen Eney aided in the construction of computerized maps. Many skilled, conscientious individuals at state energy offices, public utility commissions, the U.S. Department of Energy, and other organizations supplied essential data and produced many of the analytic studies that underlie the contents of the book. Patti Leedham provided patient and expert typing through numerous revisions of the chapters and many tables. Patricia Sawyer provided essential guidance, support, and proofreading throughout the entire effort.
Book Synopsis Option Pricing Models and Volatility Using Excel-VBA by : Fabrice D. Rouah
Download or read book Option Pricing Models and Volatility Using Excel-VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Book Synopsis Energy Abstracts for Policy Analysis by :
Download or read book Energy Abstracts for Policy Analysis written by and published by . This book was released on 1982 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Implied Volatility Functions by : Bernard Dumas
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
