Pricing American Options

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Trading and Pricing Financial Derivatives

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Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 298 pages
Book Rating : 4.5/5 (474 download)

Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle

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.

American-Style Derivatives

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Author : Jerome Detemple
Publisher : CRC Press
ISBN 13 : 1420034863
Total Pages : 247 pages
Book Rating : 4.4/5 (2 download)

Book Synopsis American-Style Derivatives by : Jerome Detemple

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.

The Numerical Solution of the American Option Pricing Problem

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Author : Carl Chiarella
Publisher : World Scientific
ISBN 13 : 9814452629
Total Pages : 223 pages
Book Rating : 4.8/5 (144 download)

Book Synopsis The Numerical Solution of the American Option Pricing Problem by : Carl Chiarella

Download or read book The Numerical Solution of the American Option Pricing Problem written by Carl Chiarella and published by World Scientific. This book was released on 2014-10-14 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers'' experiences with these approaches over the years. Contents: Introduction; The Merton and Heston Model for a Call; American Call Options under Jump-Diffusion Processes; American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics OCo The Transform Approach; Representation and Numerical Approximation of American Option Prices under Heston; Fourier Cosine Expansion Approach; A Numerical Approach to Pricing American Call Options under SVJD; Conclusion; Bibliography; Index; About the Authors. Readership: Post-graduates/ Researchers in finance and applied mathematics with interest in numerical methods for American option pricing; mathematicians/physicists doing applied research in option pricing. Key Features: Complete discussion of different numerical methods for American options; Able to handle stochastic volatility and/or jump diffusion dynamics; Able to produce hedge ratios efficiently and accurately"

The Complete Guide to Option Pricing Formulas

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Author : Espen Gaarder Haug
Publisher : Professional Finance & Investment
ISBN 13 :
Total Pages : 586 pages
Book Rating : 4.3/5 ( download)

Book Synopsis The Complete Guide to Option Pricing Formulas by : Espen Gaarder Haug

Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.

Computational Methods for Option Pricing

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Author : Yves Achdou
Publisher : SIAM
ISBN 13 : 0898715733
Total Pages : 308 pages
Book Rating : 4.8/5 (987 download)

Book Synopsis Computational Methods for Option Pricing by : Yves Achdou

Download or read book Computational Methods for Option Pricing written by Yves Achdou and published by SIAM. This book was released on 2005-07-18 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book allows you to understand fully the modern tools of numerical analysis in finance.

Introduction to Option Pricing Theory

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Author : Gopinath Kallianpur
Publisher : Springer Science & Business Media
ISBN 13 : 1461205115
Total Pages : 266 pages
Book Rating : 4.4/5 (612 download)

Book Synopsis Introduction to Option Pricing Theory by : Gopinath Kallianpur

Download or read book Introduction to Option Pricing Theory written by Gopinath Kallianpur and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.

Nonlinear Option Pricing

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Author : Julien Guyon
Publisher : CRC Press
ISBN 13 : 1466570342
Total Pages : 480 pages
Book Rating : 4.4/5 (665 download)

Book Synopsis Nonlinear Option Pricing by : Julien Guyon

Download or read book Nonlinear Option Pricing written by Julien Guyon and published by CRC Press. This book was released on 2013-12-19 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research-including Risk magazine's 2013 Quant of the Year-Nonlinear Option Pricing compares various numerical methods for solving hi

A Monte Carlo Method for Pricing American Options

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Author : Diego Garcia
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (34 download)

Book Synopsis A Monte Carlo Method for Pricing American Options by : Diego Garcia

Download or read book A Monte Carlo Method for Pricing American Options written by Diego Garcia and published by . This book was released on 1999 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Python for Finance Cookbook

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Author : Eryk Lewinson
Publisher : Packt Publishing Ltd
ISBN 13 : 1789617324
Total Pages : 426 pages
Book Rating : 4.7/5 (896 download)

Book Synopsis Python for Finance Cookbook by : Eryk Lewinson

Download or read book Python for Finance Cookbook written by Eryk Lewinson and published by Packt Publishing Ltd. This book was released on 2020-01-31 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: Solve common and not-so-common financial problems using Python libraries such as NumPy, SciPy, and pandas Key FeaturesUse powerful Python libraries such as pandas, NumPy, and SciPy to analyze your financial dataExplore unique recipes for financial data analysis and processing with PythonEstimate popular financial models such as CAPM and GARCH using a problem-solution approachBook Description Python is one of the most popular programming languages used in the financial industry, with a huge set of accompanying libraries. In this book, you'll cover different ways of downloading financial data and preparing it for modeling. You'll calculate popular indicators used in technical analysis, such as Bollinger Bands, MACD, RSI, and backtest automatic trading strategies. Next, you'll cover time series analysis and models, such as exponential smoothing, ARIMA, and GARCH (including multivariate specifications), before exploring the popular CAPM and the Fama-French three-factor model. You'll then discover how to optimize asset allocation and use Monte Carlo simulations for tasks such as calculating the price of American options and estimating the Value at Risk (VaR). In later chapters, you'll work through an entire data science project in the financial domain. You'll also learn how to solve the credit card fraud and default problems using advanced classifiers such as random forest, XGBoost, LightGBM, and stacked models. You'll then be able to tune the hyperparameters of the models and handle class imbalance. Finally, you'll focus on learning how to use deep learning (PyTorch) for approaching financial tasks. By the end of this book, you’ll have learned how to effectively analyze financial data using a recipe-based approach. What you will learnDownload and preprocess financial data from different sourcesBacktest the performance of automatic trading strategies in a real-world settingEstimate financial econometrics models in Python and interpret their resultsUse Monte Carlo simulations for a variety of tasks such as derivatives valuation and risk assessmentImprove the performance of financial models with the latest Python librariesApply machine learning and deep learning techniques to solve different financial problemsUnderstand the different approaches used to model financial time series dataWho this book is for This book is for financial analysts, data analysts, and Python developers who want to learn how to implement a broad range of tasks in the finance domain. Data scientists looking to devise intelligent financial strategies to perform efficient financial analysis will also find this book useful. Working knowledge of the Python programming language is mandatory to grasp the concepts covered in the book effectively.

Mathematical Modeling and Methods of Option Pricing

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Author : Lishang Jiang
Publisher : World Scientific
ISBN 13 : 9812563695
Total Pages : 344 pages
Book Rating : 4.8/5 (125 download)

Book Synopsis Mathematical Modeling and Methods of Option Pricing by : Lishang Jiang

Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

Introduction to the Economics and Mathematics of Financial Markets

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Author : Jaksa Cvitanic
Publisher : MIT Press
ISBN 13 : 9780262033206
Total Pages : 528 pages
Book Rating : 4.0/5 (332 download)

Book Synopsis Introduction to the Economics and Mathematics of Financial Markets by : Jaksa Cvitanic

Download or read book Introduction to the Economics and Mathematics of Financial Markets written by Jaksa Cvitanic and published by MIT Press. This book was released on 2004-02-27 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.

Option Pricing

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Author : Robert A. Jarrow
Publisher : McGraw-Hill/Irwin
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.F/5 ( download)

Book Synopsis Option Pricing by : Robert A. Jarrow

Download or read book Option Pricing written by Robert A. Jarrow and published by McGraw-Hill/Irwin. This book was released on 1983 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:

PDE and Martingale Methods in Option Pricing

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Author : Andrea Pascucci
Publisher : Springer Science & Business Media
ISBN 13 : 8847017815
Total Pages : 727 pages
Book Rating : 4.8/5 (47 download)

Book Synopsis PDE and Martingale Methods in Option Pricing by : Andrea Pascucci

Download or read book PDE and Martingale Methods in Option Pricing written by Andrea Pascucci and published by Springer Science & Business Media. This book was released on 2011-04-15 with total page 727 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.

Vinzenz Bronzin's Option Pricing Models

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Author : Wolfgang Hafner
Publisher : Springer Science & Business Media
ISBN 13 : 3540857117
Total Pages : 553 pages
Book Rating : 4.5/5 (48 download)

Book Synopsis Vinzenz Bronzin's Option Pricing Models by : Wolfgang Hafner

Download or read book Vinzenz Bronzin's Option Pricing Models written by Wolfgang Hafner and published by Springer Science & Business Media. This book was released on 2009-11-18 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract. Almost like Bachelier’s now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. He derives option prices for an illustrative set of distributions, including the Normal. - This volume includes a reprint of the original German text, a translation, as well as an appreciation of Bronzin's work from various perspectives (economics, history of finance, sociology, economic history) including some details about the professional life and circumstances of the author. The book brings Bronzin's early work to light again and adds an almost forgotten piece of research to the theory of option pricing.

Pricing of American Options

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Author : Ilya I. Gikhman
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (13 download)

Book Synopsis Pricing of American Options by : Ilya I. Gikhman

Download or read book Pricing of American Options written by Ilya I. Gikhman and published by . This book was released on 2017 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we present somewhat alternative point of view on early exercised American options. The standard valuation of the American options the exercise moment is defined as one, which guarantees the maximum value of the option. We discuss the standard approach in the first two sections of the paper. The standard approach was initially presented in the papers [3]-[7]. Our idea is that the exercise moment of the American call/put options is defined by maximum/minimum value of underlying. It was shown that at this moment exercise and sell prices are equal.

Market-Consistent Prices

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Author : Pablo Koch-Medina
Publisher : Springer Nature
ISBN 13 : 3030397246
Total Pages : 448 pages
Book Rating : 4.0/5 (33 download)

Book Synopsis Market-Consistent Prices by : Pablo Koch-Medina

Download or read book Market-Consistent Prices written by Pablo Koch-Medina and published by Springer Nature. This book was released on 2020-07-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.

Monte Carlo and Quasi-Monte Carlo Methods 2002

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Author : Harald Niederreiter
Publisher : Springer
ISBN 13 : 9783642187445
Total Pages : 460 pages
Book Rating : 4.1/5 (874 download)

Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2002 by : Harald Niederreiter

Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2002 written by Harald Niederreiter and published by Springer. This book was released on with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: