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Author : Emmanuel Jurczenko
Publisher :
ISBN 13 :
Total Pages : 85 pages
Book Rating : 4.:/5 (248 download)
Download or read book Revisited Multi-moment Approximate Option Pricing Models written by Emmanuel Jurczenko and published by . This book was released on 2002 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emmanuel Jurczenko
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)
Download or read book Multi-Moment Approximate Option Pricing Models written by Emmanuel Jurczenko and published by . This book was released on 2002 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the seminal paper of Jarrow and Rudd (1982), several authors have proposed to use different statistical series expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the Gram-Charlier Type A series expansion (Corrado and Su, 1996-b and 1997-b), log-normal Gram-Charlier series expansion (Jarrow and Rudd, 1982) and Edgeworth series expansion (Rubinstein, 1998). The purpose of this paper is to compare these different multi-moment approximate option pricing models. We first recall the link between risk-neutral densities and moments in a general statistical series expansion framework. We then derive analytical formulae for these different four-moment approximate option pricing models, namely, the Jarrow and Rudd (1982), Corrado and Su (1996-b and 1997-b) and Rubinstein (1998) models. We investigate in particular the conditions that ensure the respect of the martingale restriction (see Longstaff, 1995) and compare with option pricing models such as Black and Scholes (1973) and Hermite polynomial models (see Madan and Milne, 1994, Abken et al.,1996). We also get for these approximate option pricing models analytical expressions of implied probability distribution, implied volatility smile functions and several hedging parameters of interest, such as the Psi and the Chi that measure respectively the changes in the option price with respect to the changes in kurtosis and skewness.
Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
ISBN 13 : 0470057998
Total Pages : 258 pages
Book Rating : 4.4/5 (7 download)
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
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 : Gunther Capelle-Blancard
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book The Approximate Option Pricing Model written by Gunther Capelle-Blancard and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lishang Jiang
Publisher : World Scientific
ISBN 13 : 9812563695
Total Pages : 344 pages
Book Rating : 4.8/5 (125 download)
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.
Author : Robert A. Jarrow
Publisher : World Scientific
ISBN 13 : 9812819223
Total Pages : 609 pages
Book Rating : 4.8/5 (128 download)
Download or read book Financial Derivatives Pricing written by Robert A. Jarrow and published by World Scientific. This book was released on 2008 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Author : Christophe Chorro
Publisher : Springer
ISBN 13 : 9783662450369
Total Pages : 0 pages
Book Rating : 4.4/5 (53 download)
Download or read book A Time Series Approach to Option Pricing written by Christophe Chorro and published by Springer. This book was released on 2014-12-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.
Author : Gunther Capelle-Blancard
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book The Approximate Option Pricing Model written by Gunther Capelle-Blancard and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commemorative Guidebook to the First Field Conference written by and published by . This book was released on 1981* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 94 pages
Book Rating : 4.3/5 (91 download)
Download or read book British National Bibliography for Report Literature written by and published by . This book was released on 2003-03 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhang Xiang
Publisher :
ISBN 13 :
Total Pages : 232 pages
Book Rating : 4.:/5 (769 download)
Download or read book The Empirical Analysis of Affine Multi-factors Stochastic Volatilities Option Pricing Models written by Zhang Xiang and published by . This book was released on 2006 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francesco Audrino
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from High-Frequency Data written by Francesco Audrino and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: As a means of validating an option pricing model, we compare the ex-post intra-day realized variance of options with the realized variance of the associated underlying asset that would be implied using assumptions as in the Black and Scholes (BS) model, the Heston and the Bates model. Based on data for the S&P 500 index, we find that the BS model is strongly directionally biased due to the presence of stochastic volatility. The Heston model reduces the mismatch in realized variance between the two markets, but deviations are still significant. With the exception of short-dated options, we achieve best approximations after controlling for the presence of jumps in the underlying dynamics. Finally, we provide evidence that, although heavily biased, the realized variance based on the BS model contains relevant predictive information that can be exploited when option high-frequency data is not available.
Author : Albert Corhay
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (753 download)
Download or read book Option Pricing Models written by Albert Corhay and published by . This book was released on 1989 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neil Chriss
Publisher : McGraw-Hill Companies
ISBN 13 : 9780786310265
Total Pages : 0 pages
Book Rating : 4.3/5 (12 download)
Download or read book The Black-Scholes and Beyond Interactive Toolkit written by Neil Chriss and published by McGraw-Hill Companies. This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces implied volatility trees as a new technique for pricing options, and provides a software package that should be comprehensible to anyone with experience or training in such pricing from other sources than this text. The text explains such aspects as probability theory, lumpy dividends, options on futures, hedge parameters for European options, implied volatility, and price barrier options in the presence of the smile. The software, on 3.5" disks, requires Windows 3.1 or 95, at least a 386 computer, a math coprocessor chip, and at least 8MB of RAM. No index or bibliography. Annotation copyrighted by Book News, Inc., Portland, OR
Author : Liuren Wu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Finite Moment Log Stable Process and Option Pricing written by Liuren Wu and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We document a surprising pattern in Samp;P 500 option prices. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sharply with the implications of many pricing models and with the asymptotic behavior implied by the central limit theorem (CLT). We develop a parsimonious model which deliberately violates the CLT assumptions and thus captures the observed behavior of the volatility smirk over the maturity horizon. Calibration exercises demonstrate its superior performance against several widely used alternatives.
Download or read book Calibrating Multi-dimensional Option Pricing Models written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
