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Author : Yang Wang
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.:/5 (74 download)
Download or read book Pricing and Hedging American-style Options written by Yang Wang and published by . This book was released on 2010 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Wolfgang Hafner
Publisher : Springer Science & Business Media
ISBN 13 : 3540857117
Total Pages : 553 pages
Book Rating : 4.5/5 (48 download)
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.
Author :
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (918 download)
Download or read book A Nonparametric Method for Pricing and Hedging American Options written by and published by . This book was released on 2014 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tommaso Paletta
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)
Download or read book An Improved Method for Pricing and Hedging American Options written by Tommaso Paletta and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: The majority of quasi-analytic pricing methods for American options are efficient near-maturity but are prone to larger errors when time-to-maturity increases. A new methodology, called the "extension"-method, is introduced to increase the accuracy of almost any existing quasi-analytic approach in pricing long-maturity American options. It relies on an approximation of the optimal exercise price near the beginning of the contract combined with existing pricing approaches so that the maturity range for which small errors are attainable is extended. The new methodology retains the quasi-analytic nature of the methods it improves on and we derive generic quasi-analytic formulae for the price of an American put as well as for its delta parameter. Our numerical study indicates that the proposed methodology considerably improves both the pricing and the hedging performance of a number of established approaches for a wide range of maturities. Furthermore, the pricing improvements are most sizeable at longer maturities, where existing approaches do not perform well.
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 : Carl Chiarella
Publisher : World Scientific
ISBN 13 : 9814452629
Total Pages : 223 pages
Book Rating : 4.8/5 (144 download)
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"
Author : Lishang Jiang
Publisher : World Scientific Publishing Company
ISBN 13 : 9813106557
Total Pages : 343 pages
Book Rating : 4.8/5 (131 download)
Download or read book Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and published by World Scientific Publishing Company. This book was released on 2005-07-18 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to 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. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Author : Lucia Caramellino
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (954 download)
Download or read book Monte Carlo Methods for Pricing and Hedging American Options in High Dimension written by Lucia Caramellino and published by . This book was released on 2004 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jing-zhi Huang
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (214 download)
Download or read book Pricing and Hedging American Options written by Jing-zhi Huang and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Grigorij N. Milʹstejn
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (766 download)
Download or read book Monte Carlo Methods for Pricing and Hedging American Options written by Grigorij N. Milʹstejn and published by . This book was released on 2003 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neil Chriss
Publisher : McGraw-Hill
ISBN 13 :
Total Pages : 512 pages
Book Rating : 4.3/5 (91 download)
Download or read book Black Scholes and Beyond: Option Pricing Models written by Neil Chriss and published by McGraw-Hill. This book was released on 1997 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
Author : Leonardo Marroni
Publisher : John Wiley & Sons
ISBN 13 : 1119954584
Total Pages : 277 pages
Book Rating : 4.1/5 (199 download)
Download or read book Pricing and Hedging Financial Derivatives written by Leonardo Marroni and published by John Wiley & Sons. This book was released on 2014-06-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code
Author : Martin G. Subrahmanyam
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (3 download)
Download or read book Pricing and Hedging American Options written by Martin G. Subrahmanyam and published by . This book was released on 1993 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Toby Daglish
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options written by Toby Daglish and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article investigates the extent to which options on the Australian Stock Price Index can be explained by parametric and nonparametric option pricing techniques. In particular, comparisons are made of out-of-sample option pricing performance and hedging performance. The dataset differs from many of those used previously in the empirical options pricing literature in that it consists of American options. In addition, a broader spectrum of techniques are considered: a spline-based nonparametric technique is considered in addition to the standard kernel techniques, while the performance of a Heston stochastic volatility model is also considered. Although some evidence is found of superior performance by nonparametric techniques for in-sample pricing, the parametric methods exhibit a markedly better ability to explain future prices and show superior hedging performance.
Author : Robert T. Daigler
Publisher : McGraw Hill Professional
ISBN 13 : 9781557385529
Total Pages : 356 pages
Book Rating : 4.3/5 (855 download)
Download or read book Advanced Options Trading written by Robert T. Daigler and published by McGraw Hill Professional. This book was released on 1994 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book thoroughly explains the options markets. Moreover, the work contains several unique features, including computer codes to calculate changes in options properties and a historic evaluation of options strategies and pricing theories. As a result, traders learn what works and what doesn't wor
Author : Espen Gaarder Haug
Publisher : Professional Finance & Investment
ISBN 13 :
Total Pages : 586 pages
Book Rating : 4.3/5 ( download)
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.
