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Pricing Options With Futures Style Margining
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Book Synopsis Pricing Options with Futures-Style Margining by : Alan White
Download or read book Pricing Options with Futures-Style Margining written by Alan White and published by Routledge. This book was released on 2014-02-04 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.
Book Synopsis PRICING OPTIONS WITH FUTURES-STYLE MARGINING by : ALAN. WHITE
Download or read book PRICING OPTIONS WITH FUTURES-STYLE MARGINING written by ALAN. WHITE and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 2000. In 1973, options on stock became available on an organized exchange when the Chicago Board of Trade created the Chicago Board Options Exchange (CBOE). Options existed prior to this time, but the contracts lacked standardization and a central exchange. Since that introduction, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Although a great deal of work has been done in the area of option pricing, there still exists a number of problems related to estimating or predicting option prices. The purpose of this study is to utilize Genetic Adaptive Neural Networks (GANNs) to develop a method of pricing futures options with futures-style margining.
Book Synopsis The Pricing of Interest Rate Options with Futures Style Margining by : Alan Jay White
Download or read book The Pricing of Interest Rate Options with Futures Style Margining written by Alan Jay White and published by . This book was released on 1996 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Options with Futures-Style Margining by : Alan White
Download or read book Pricing Options with Futures-Style Margining written by Alan White and published by Routledge. This book was released on 2014-02-04 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.
Book Synopsis The Proposed Introduction of Futures - Style Margining in the U.S by : George W. Kutner
Download or read book The Proposed Introduction of Futures - Style Margining in the U.S written by George W. Kutner and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend the quadratic approximation method to examine American-style options traded using futures-style margining and show that an early exercise premium can exist when the cost of carry is negative. Empirical results based on a reduced form of the model using futures-style call options traded on the Australian All Ordinaries Share Price Index, are consistent with previous research - call option early exercise premiums are economically zero. Full option prices are examined by comparing observed futures-style with theoretical stock-style values. We find futures-style exceed stock-style values and argue that the increase results from improvements in liquidity. The findings are particularly relevant given the pending decision at the Commodity Futures Trading Commission to introduce a futures-style system in the United States.
Book Synopsis On the Efficacy of a Portfolio Approach to Margin Setting in a Futures-style Settlement System by : Paul H. Kupiec
Download or read book On the Efficacy of a Portfolio Approach to Margin Setting in a Futures-style Settlement System written by Paul H. Kupiec and published by . This book was released on 1993 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation of American Options, with Futures-style Margining, on Long Gilt Futures by : C. Gavin O'Neill
Download or read book Valuation of American Options, with Futures-style Margining, on Long Gilt Futures written by C. Gavin O'Neill and published by . This book was released on 1995 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Derivatives by : David F. DeRosa
Download or read book Currency Derivatives written by David F. DeRosa and published by John Wiley & Sons. This book was released on 1998-09-07 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mit über einer Billion US Dollar Umsatz stellt der Devisenhandel weltweit den größten Markt dar. In diesem Markt sind Währungsderivate zu einem bevorzugten Handelsinstrument geworden, das von Großbanken, Brokerhäusern, Hedge Funds (spekulativ ausgerichteter Fonds, der mit Hilfe von Derivaten seine Gewinne zu optimieren versucht) und Handelsberatern eingesetzt wird. Zwar sind diese Instrumente heute komplexer denn je, aber sie sind ein unverzichtbares Mittel des Risikomanagements im Devisenhandel. Herausgegeben von führenden Devisenhändlern und Analysten, ist dieses Buch Basislektüre für jeden, der sich in diesem Bereich bewegt. Eine Sammlung der 20 besten und meist zitierten Beiträge zu Währungsderivaten, Preistheorie und Anwendungen von Hedging-Methoden (10/98)
Download or read book Federal Register written by and published by . This book was released on 1989-03-08 with total page 1514 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fundamentals of Futures and options markets by : John Hull
Download or read book Fundamentals of Futures and options markets written by John Hull and published by Pearson Higher Education AU. This book was released on 2013-09-12 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first Australasian edition of Hull’s bestselling Fundamentals of Futures and Options Markets was adapted for the Australian market by a local team of respected academics. Important local content distinguishes the Australasian edition from the US edition, including the unique financial instruments commonly traded on the Australian securities and derivatives markets and their surrounding conventions. In addition, the inclusion of Australasian and international business examples makes this text the most relevant and useful resource available to Finance students today. Hull presents an accessible and student-friendly overview of the topic without the use of calculus and is ideal for those with a limited background in mathematics. Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world. For undergraduate and post-graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.
Book Synopsis Boundary Conditions for SPI Futures Options with Daily Futures Style Margin Payments by : Garry Twite
Download or read book Boundary Conditions for SPI Futures Options with Daily Futures Style Margin Payments written by Garry Twite and published by . This book was released on 1993 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Code of Federal Regulations written by and published by . This book was released on 2000 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Code of Federal Regulations of the United States of America by :
Download or read book The Code of Federal Regulations of the United States of America written by and published by . This book was released on 1999 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Code of Federal Regulations is the codification of the general and permanent rules published in the Federal Register by the executive departments and agencies of the Federal Government.
Author :Office of The Federal Register Publisher :IntraWEB, LLC and Claitor's Law Publishing ISBN 13 : Total Pages :932 pages Book Rating :4./5 ( download)
Book Synopsis 2018 CFR e-Book Title 17 Commodity and Securities Exchanges Parts 1 to 40 by : Office of The Federal Register
Download or read book 2018 CFR e-Book Title 17 Commodity and Securities Exchanges Parts 1 to 40 written by Office of The Federal Register and published by IntraWEB, LLC and Claitor's Law Publishing. This book was released on 2018-04-01 with total page 932 pages. Available in PDF, EPUB and Kindle. Book excerpt: Title 17 Commodity and Securities Exchanges Parts 1 to 40
Author :Office of the Federal Register (U.S.) Staff Publisher :Office of the Federal Register ISBN 13 :9780160907012 Total Pages :1158 pages Book Rating :4.9/5 (7 download)
Book Synopsis Code of Federal Regulations, Title 17, Commodity and Securities Exchanges, Pt. 1-199, Revised As of April 1 2012 by : Office of the Federal Register (U.S.) Staff
Download or read book Code of Federal Regulations, Title 17, Commodity and Securities Exchanges, Pt. 1-199, Revised As of April 1 2012 written by Office of the Federal Register (U.S.) Staff and published by Office of the Federal Register. This book was released on 2012-08 with total page 1158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interest Rate Futures Options Pricing in Australia by : Jason S. Donald
Download or read book Interest Rate Futures Options Pricing in Australia written by Jason S. Donald and published by . This book was released on 1994 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Oversight of the Swaps and Futures Markets by : United States. Congress. House. Committee on Agriculture
Download or read book Oversight of the Swaps and Futures Markets written by United States. Congress. House. Committee on Agriculture and published by . This book was released on 2013 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
