Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Pricing American Options In A Mild Stochastic Environment
Download Pricing American Options In A Mild Stochastic Environment full books in PDF, epub, and Kindle. Read online Pricing American Options In A Mild Stochastic Environment ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Pricing American Options in a Mild Stochastic Environment by : Moisa Altar
Download or read book Pricing American Options in a Mild Stochastic Environment written by Moisa Altar and published by . This book was released on 2008 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of pricing derivative financial products is central to the theory of capital markets. An option is a financial contract conveying its owner the right of buying or selling a financial asset (underlying asset) at a preset strike price K, at a fixed expiration date T (maturity). Unlike European options, which can be exercised only at maturity date, an American option can be exercised at any time t prior to the maturity date. Most of the option pricing methods, starting with the well-known Black-Scholes model (1973), are based on the assumption that the market uncertainty can be modeled by a Wiener process. In this context, while it is possible to obtain convenient analytical option pricing formulae for European options, it is very difficult to obtain exact results for American options. In the present paper, we assume that the market uncertainty is modeled by a more regular stochastic process, which was called, by A. Halanay, a mild stochastic environment. In this context, we are able to obtain precise stopping rules, determining the exact exercise time and the exact price of an American option.
Book Synopsis American Options Pricing on Assets with Stochastic Variances by : Fei Guan
Download or read book American Options Pricing on Assets with Stochastic Variances written by Fei Guan and published by . This book was released on 1998 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis American Option Pricing Under Stochastic Volatility by : Suchandan Guha
Download or read book American Option Pricing Under Stochastic Volatility written by Suchandan Guha and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: We developed two new numerical techniques to price American options when the underlying follows a bivariate process. The first technique exploits the semi-martingale representation of an American option price together with a coarse approximation of its early exercise surface that is based on an efficient implementation of the least-squares Monte Carlo method. The second technique exploits recent results in the efficient pricing of American options under constant volatility. Extensive numerical evaluations show these methods yield very accurate prices in a computationally efficient manner with the latter significantly faster than the former. However, the flexibility of the first method allows for its extension to a much larger class of optimal stopping problems than addressed in this paper.
Book Synopsis Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates by : Jannick B. G. Schreiner
Download or read book Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates written by Jannick B. G. Schreiner and published by . This book was released on 2012 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis American Option Pricing Under Stochastic Volatility by : Manisha Goswami
Download or read book American Option Pricing Under Stochastic Volatility written by Manisha Goswami and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The approximate method to price American options makes use of the fact that accurate pricing of these options does not require exact determination of the early exercise boundary. Thus, the procedure mixes the two models of constant and stochastic volatility. The idea is to obtain early exercise boundary through constant volatility model using the approximation methods of AitSahlia and Lai or Ju and then utilize this boundary to price the options under stochastic volatility models. The data on S & P 100 Index American options is used to analyze the pricing performance of the mixing of the two models. The performance is studied with respect to percentage pricing error and absolute pricing errors for each money-ness maturity group.
Book Synopsis American Options Under Stochastic Volatility by : Arun Chockalingam
Download or read book American Options Under Stochastic Volatility written by Arun Chockalingam and published by . This book was released on 2012 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrates that volatility is not constant and stochastic volatility models are used to account for dynamic volatility changes. Option pricing methods that have been developed in literature for pricing under stochastic volatility focus mostly on European options. We consider the problem of pricing American options under stochastic volatility which has relatively had much less attention from literature. First, we develop an exercise-policy improvement procedure to compute the optimal exercise policy and option price. We show that the scheme monotonically converges for various popular stochastic volatility models in literature. Second, using this computational tool, we explore a variety of questions that seek insights into the dependence of option prices, exercise policies and implied volatilities on the market price of volatility risk and correlation between the asset and stochastic volatility.
Book Synopsis Stochastic Dominance Option Pricing by : Stylianos Perrakis
Download or read book Stochastic Dominance Option Pricing written by Stylianos Perrakis and published by Springer. This book was released on 2019-05-03 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Book Synopsis American Put Options by : Donna Salopek
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.
Book Synopsis Pricing American Options with Stochastic Interest Rates by : Kaushik Ishwar Amin
Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik Ishwar Amin and published by . This book was released on 1992 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Analytical Approach to Pricing American Options Under Stochastic Volatility by : Zhe Zhang
Download or read book An Analytical Approach to Pricing American Options Under Stochastic Volatility written by Zhe Zhang and published by . This book was released on 2000 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing American Options on Risky Assets in a Stochastic Interest Rate Economy by : Kaushik I. Amin
Download or read book Pricing American Options on Risky Assets in a Stochastic Interest Rate Economy written by Kaushik I. Amin and published by . This book was released on 1991 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates by : Alexey Medvedev
Download or read book Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates written by Alexey Medvedev and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Pricing Model for American Options with Stochastic Interest Rates by : Ton Vorst
Download or read book A Pricing Model for American Options with Stochastic Interest Rates written by Ton Vorst and published by . This book was released on 2008 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop a new method to value American stock options with stochastic interest rates. We construct a binomial tree for the stock price divided by the price of the zero coupon bond that matures at the maturity date of the option. In fact, we construct a tree for the so-called forward risk adjusted measure. In each node of the tree the quotient of the stock price and bond price is constant and there are combinations of stock and bond prices for which immediate exercise is optimal and other combinations for which this is not the case. We derive for each node in the tree an analytic expression for the expected immediate exercise premium conditional on this quotient of stock and bond prices. This immediate exercise premium is added to the value that is derived from the familiar backward procedure. Both European and American option prices depend on the correlation between the interest rate process and the stock price process. It is interesting to see that with increasing correlation between the interest rate process and the stock price process, and hence a decreasing correlation between bond and stock prices, the values of European options increase, while the values of the early exercise premium decrease. For American options this might result in a non-monotonic relation between the correlation coefficient and the option price. Furthermore, there is evidence that the early exercise premium due to stochastic interest rates is much larger than established before by other researchers. Finally, we also consider the influence of the shape of the initial term structure.
Book Synopsis Pricing American Options Under Stochastic Volatility by : Elias Tzavalis
Download or read book Pricing American Options Under Stochastic Volatility written by Elias Tzavalis and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on American Options Pricing Under Levy Models with Stochastic Volatility and Jumps by : Ye Chen
Download or read book Essays on American Options Pricing Under Levy Models with Stochastic Volatility and Jumps written by Ye Chen and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In ``A Multi-demensional Transform for Pricing American Options Under Stochastic Volatility Models", we present a new transform-based approach for pricing American options under low-dimensional stochastic volatility models which can be used to construct multi-dimensional path-independent lattices for all low-dimensional stochastic volatility models given in the literature, including SV, SV2, SVJ, SV2J, and SVJ2 models. We demonstrate that the prices of European options obtained using the path-independent lattices converge rapidly to their true prices obtained using quasi-analytical solutions. Our transform-based approach is computationally more efficient than all other methods given in the literature for a large class of low-dimensional stochastic volatility models. In ``A Multi-demensional Transform for Pricing American Options Under Levy Models", We extend the multi-dimensional transform to Levy models with stochastic volatility and jumps in the underlying stock price process. Efficient path-independent tree can be constructed for both European and American options. Our path-independent lattice method can be applied to almost all Levy models in the literature, such as Merton (1976), Bates (1996, 2000, 2006), Pan (2002), the NIG model, the VG model and the CGMY model. The numerical results show that our method is extemly accurate and fast. In ``Empirical performance of Levy models for American Options", we investigate in-sample fitting and out-of-sample pricing performance on American call options under Levy models. The drawback of the BS model has been well documented in the literatures, such as negative skewness with excess kurtosis, fat tail, and non-normality. Therefore, many models have been proposed to resolve known issues associated the BS model. For example, to resolve volatility smile, local volatility, stochastic volatility, and diffusion with jumps have been considered in the literatures; to resolve non-normality, non-Markov processes have been considered, e.g., Poisson process, variance gamma process, and other type of Levy processes. One would ask: what is the gain from each of the generalized models? Or, which model is the best for option pricing? We address these problems by examining which model results in the lowest pricing error for American style contracts. For in-sample analysis, the rank (from best to worst) is Pan, CGMYsv, VGsv, Heston, CGMY, VG and BS. And for out-of-sample pricing performance, the rank (from best to worst) is CGMYsv, VGsv, Pan, Heston, BS, VG, and CGMY. Adding stochastic volatility and jump into a model improves American options pricing performance, but pure jump models are worse than the BS model in American options pricing. Our empirical results show that pure jump model are over-fitting, but not improve American options pricing when they are applied to out-of-sample data.
Book Synopsis American Spread Option Pricing with Stochastic Interest Rates by : An Jiang
Download or read book American Spread Option Pricing with Stochastic Interest Rates written by An Jiang and published by . This book was released on 2016 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these assets. We consider American style spread option which allows the owners to exercise it at any time before the maturity. The complexity of pricing American spread option is that the boundary of the corresponding partial differential equation which determines the option price is unknown and the model for the underlying assets is two-dimensional.
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:
