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Author : Giovanni Barone-Adesi
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (911 download)
Download or read book On the Valuation of American Put Options on Dividend-paying Stocks written by Giovanni Barone-Adesi and published by . This book was released on 1988 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steven B. Raymar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Valuation of Compound Options and American Calls on Dividend Paying Stocks with Time-Varying Volatility written by Steven B. Raymar and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends Geske's (1979a) compound European call option pricing model and the Roll (1977), Geske (1979b), and Whaley (1981) (RGW) American call pricing model to the case where the variance of the underlying asset changes deterministically. The theoretical analysis shows that the generalized models use integrals of the time-varying variance in the same way as Merton's (1973) generalization of the Black and Scholes (1973) European option pricing model. The resulting analytic expressions require two variance parameters and an adjusted correlation coefficient for the relevant bivariate normal distribution. The comparison of our time-varying model with RGW reveals small differences which may vary in sign. For at-the-money options, if stock variability decreases after dividend payment dates, then initial RGW prices are biased low; conversely, RGW prices are too high if variability has a tendency to increase after dividends.
Author : Giovanni Barone Adesi
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (378 download)
Download or read book The Valuation of American Call Options and the Expected Ex-dividend Stock Price Decline written by Giovanni Barone Adesi and published by . This book was released on 1985 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 298 pages
Book Rating : 4.5/5 (474 download)
Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.
Author : Stephen M. Goldfeld
Publisher :
ISBN 13 :
Total Pages : 280 pages
Book Rating : 4.:/5 (631 download)
Download or read book Nonlinear Methods in Econometrics written by Stephen M. Goldfeld and published by . This book was released on 1976 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical aptimization; Least squares theory; Confidence intervals and maximum likelihood estimation; Analyses of heteroscedastiaty; Estimation of regressions with dummy dependent variable; Cobb-douglas type functions with multiplicative and additive errors; Estimator behavior for a nonlinear model of production; Autocorrelation in simutaneous equation systems; Estimation of discontinuos parameter changes.
Author : Mikael Vikström
Publisher :
ISBN 13 : 9789515556745
Total Pages : 26 pages
Book Rating : 4.5/5 (567 download)
Download or read book The Pricing of American Put Options on Stock with Dividends written by Mikael Vikström and published by . This book was released on 2000 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Donna Salopek
Publisher : CRC Press
ISBN 13 : 9780582315945
Total Pages : 132 pages
Book Rating : 4.3/5 (159 download)
Download or read book American Put Options written by Donna Salopek and published by CRC Press. This book was released on 1997-03-15 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Jerome Detemple
Publisher : CRC Press
ISBN 13 : 1420034863
Total Pages : 247 pages
Book Rating : 4.4/5 (2 download)
Download or read book American-Style Derivatives written by Jerome Detemple and published by CRC Press. This book was released on 2005-12-09 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Edwin O. Fischer
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (751 download)
Download or read book Analytic approximation for the valuation of American put options on stocks with known dividends written by Edwin O. Fischer and published by . This book was released on 1989 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jerome Detemple
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book American Capped Call Options on Dividend Paying Assets written by Jerome Detemple and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses the problem of valuing American call options with caps on dividend paying assets. Since early exercise is allowed, the valuation problem requires the determination of optimal exercise policies. Options with two types of caps are analyzed: constant caps and caps with a constant growth rate. For constant caps the optimal exercise policy is to exercise at the first time at which the underlying asset's price equals or exceeds the minimum of the cap and the optimal exercise boundary for the corresponding uncapped option. For caps that grow at a constant rate the optimal exercise strategy can be specified by three endogenous parameters.
Author : Robert C Merton
Publisher : Legare Street Press
ISBN 13 : 9781015784017
Total Pages : 0 pages
Book Rating : 4.7/5 (84 download)
Download or read book Theory of Rational Option Pricing written by Robert C Merton and published by Legare Street Press. This book was released on 2022-10-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Mondher Bellalah
Publisher : World Scientific
ISBN 13 : 9812838635
Total Pages : 996 pages
Book Rating : 4.8/5 (128 download)
Download or read book Derivatives, Risk Management & Value written by Mondher Bellalah and published by World Scientific. This book was released on 2010 with total page 996 pages. Available in PDF, EPUB and Kindle. Book excerpt: 19.1. Numerical analysis and simulation techniques : an introduction to finite difference methods. 19.2. Application to European options on non-dividend paying stocks. 19.3. Valuation of American options with a composite volatility. 19.4. Simulation methods : Monte-Carlo method. ch. 20. Numerical methods and partial differential equations for European and American derivatives with complete and incomplete information. 20.1. Valuation of American calls on dividend-paying stocks. 20.2. American puts on dividend-paying stocks. 20.3. Numerical procedures in the presence of information costs : applications. 20.4. Convertible bonds. 20.5. Two-factor interest rate models and bond pricing within information uncertainty. 20.6. CBs pricing within information uncertainty -- pt. VIII. Exotic derivatives. ch. 21. Risk management : exotics and second-generation options. 21.1. Exchange options. 21.2. Forward-start options. 21.3. Pay-later options. 21.4. Simple chooser options. 21.5. Complex choosers. 21.6. Compound options. 21.7. Options on the maximum (minimum). 21.8. Extendible options. 21.9. Equity-linked foreign exchange options and quantos. 21.10. Binary barrier options. 21.11. Lookback options. ch. 22. Value at risk, credit risk, and credit derivatives. 22.1. VaR and riskmetrics : definitions and basic concepts. 22.2. Statistical and probability foundation of VaR. 22.3. A more advanced approach to VaR. 22.4. Credit valuation and the creditmetrics approach. 22.5. Default and credit-quality migration in the creditmetrics approach. 22.6. Credit-quality correlations. 22.7. Portfolio management of default risk in the Kealhofer, McQuown and Vasicek (KMV) approach. 22.8. Credit derivatives : definitions and main concepts. 22.9. The rating agencies models and the proprietary models.
Author : John C. Cox
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 518 pages
Book Rating : 4.3/5 (91 download)
Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Author : Peter Carr
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book Randomization and the American Put written by Peter Carr and published by . This book was released on 1997 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: While American calls on non-dividend paying stocks may be valued as European, there is no completely explicit exact solution for the values of American puts. We introduce a novel technique called randomization to value American puts and calls on dividend-paying stocks. This technique yields a new semi-explicit approximation for American option values in the Black Scholes model. Numerical results indicate that the approximation is both accurate and computationally efficient.
Author : Yaser S. Abu-Mostafa
Publisher : MIT Press
ISBN 13 : 9780262511070
Total Pages : 744 pages
Book Rating : 4.5/5 (11 download)
Download or read book Computational Finance 1999 written by Yaser S. Abu-Mostafa and published by MIT Press. This book was released on 2000 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.
Author : Stuart McLean Turnbull
Publisher :
ISBN 13 :
Total Pages : 212 pages
Book Rating : 4.E/5 ( download)
Download or read book Option Valuation written by Stuart McLean Turnbull and published by . This book was released on 1987 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lindsey McMurray
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Early Exercise Premium in American Option Prices written by Lindsey McMurray and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The London stock options market trades both European and American style options on the same underlying asset--the FT- SE 100 stock index. This paper exploits this special feature to provide direct empirical evidence on the value of early exercise in American option prices. Significant early exercise premium is found in both calls and puts. The premium is significantly higher than that predicted analytically by the binomial option valuation model. The magnitude of this premium for in-the-money options is also considerably higher than that documented for the U.S. market on the basis of an imperfect proxy. Consistent with theoretical expectations, the premium of calls increases with the degree to which the option is in the money and with the dividends on the last ex-dividend date before option maturity; and the premium for puts is positively related to the degree to which the option is in the money and to the time to maturity, and negatively related to the dividends on the last ex-dividend date prior to expiration. The early exercise premium for calls is sometimes economically significant even when there is no possibility of dividends before maturity. At the same time, the American option often trades at a discount to its European counterpart greater in magnitude than the median bid-ask spread, though this does not necessarily signal economically significant pricing inefficiency.
