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Static Hedging And Pricing Of Exotic Options With Payoff Frames
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Book Synopsis Static Hedging and Pricing of Exotic Options with Payoff Frames by : Justin Kirkby
Download or read book Static Hedging and Pricing of Exotic Options with Payoff Frames written by Justin Kirkby and published by . This book was released on 2018 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a general framework for statically hedging European-style options with nonstandard terminal payoffs which can be applied to mixed static-dynamic and semi-static hedges for many path dependent exotic options. This framework provides a new model-free method of derivatives pricing that builds on recent advances in transform-based numerical approaches. The goal is achieved by separating the hedging and pricing problems to obtain model-free replicating strategies. Once prices have been obtained for a set of basis payoffs, the pricing and hedging of financial securities with arbitrary payoffs functions is accomplished by computing a set of "hedge coefficients" for that security. This method is particularly well suited for pricing baskets of options simultaneously, and is robust to discontinuities of payoffs. In addition, the method enables a systematic comparison of the value of a payoff (or portfolio) across a set of competing model specifications with implications for security design.
Book Synopsis Pricing, Hedging, and Trading Exotic Options by : Israel Nelken
Download or read book Pricing, Hedging, and Trading Exotic Options written by Israel Nelken and published by Irwin Professional Publishing. This book was released on 2000 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In describing the major types of exotic options Pricing, Hedging, and Trading Exotic Options also reveals their key applications.
Book Synopsis Pricing and Managing Exotic and Hybrid Options by : Vineer Bhansali
Download or read book Pricing and Managing Exotic and Hybrid Options written by Vineer Bhansali and published by McGraw-Hill Companies. This book was released on 1998 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Table of Contents
Download or read book Exotic Options written by Les Clewlow and published by International Thomson Publishing Services. This book was released on 1997 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a practical and up-to-date guide to the valuation and hedging of standard exotic options. It explores each type of option in detail and should be useful for all those who need clearer practical understanding of this area of high finance.
Book Synopsis Exotic Options: A Guide To Second Generation Options by : Peter Guangping Zhang
Download or read book Exotic Options: A Guide To Second Generation Options written by Peter Guangping Zhang and published by World Scientific. This book was released on 1997-01-03 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the first systematic classification and treatment to essentially all exotic options currently trading at the Over-the-Counter (OTC) market. It contains exact closed-form pricing formulae and approximated closed-form pricing formulae for all popular exotic options. It includes arguments for and pricing formulae of exotic options with more flexibility than most popular exotic options such as flexible Asian options with flexible weights to various observations in the average, Asian barrier options, correlation digital options, etc. Most of the analyses in this book are within the Black-Scholes environment so that comparisons of each type of exotic options with the Black-Scholes model can be made readily. Emphases have been paid to illustrate the ideas of products clearly and show how to use the pricing expressions conveniently. The book contains many pricing formulae and analyses which do not exist in the literature.The book is suitable for traders, analysts, risk managers, marketers, sales people, professionals in the derivatives industry, and financial professionals in general who have an interest in the concurrent status of the exotic derivatives market. It is also of great interest to professors and graduate students who want to catch up with the ever growing innovation process in the derivatives industry. Scientists, engineers, computer programers, and other professionals may also find the book an efficient way to grasp some financial ideas and connect financial products with mathematical tools.ORThis is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginnning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.
Book Synopsis Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures by : Aytac Ilhan
Download or read book Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures written by Aytac Ilhan and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks, and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an optimal static position for general convex risk measures, and then analyze in detail the case of expected shortfall with a power loss function. Here we find conditions for uniqueness of the static hedge. We illustrate the computational challenge of computing the market-adjusted risk measure in a simple diffusion model for an option on a non-traded asset.
Download or read book Static Vs Dynamic Hedging written by and published by . This book was released on 1997 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Static Options Replication by : Emanuel Derman
Download or read book Static Options Replication written by Emanuel Derman and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article presents a practical and useful method for replicating or hedging a target stock option with a portfolio of other options. It shows how to construct a replicating portfolio of standard options with varying strikes and maturities and fixed portfolio weights. Once constructed, this portfolio will replicate the value of the target option for a wide range of stock prices and times before expiration, without requiring further weight adjustments. We call this method static replication. It makes no assumptions beyond those of standard options theory. You can use the technique to construct static hedges for exotic options, thereby minimizing dynamic hedging risk and costs. You can use it to structure exotic payoffs from standard options. Finally, you can use it as an aid in valuing exotic options, since it lets you decompose the exotic option into a portfolio of standard options whose market prices and bid-ask spreads may be better known.
Book Synopsis Hedging Vanilla and Exotic Options by :
Download or read book Hedging Vanilla and Exotic Options written by and published by . This book was released on 1997 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simulation Based Study Into the Hedging of Exotic Options Via Both Static and Dynamic Hedging Strategies by : Roger Clarke
Download or read book A Simulation Based Study Into the Hedging of Exotic Options Via Both Static and Dynamic Hedging Strategies written by Roger Clarke and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing and Hedging Exotic Options by : Jacopo Zani
Download or read book Pricing and Hedging Exotic Options written by Jacopo Zani and published by . This book was released on 2002 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exotic Options Trading by : Frans de Weert
Download or read book Exotic Options Trading written by Frans de Weert and published by John Wiley & Sons. This book was released on 2011-01-19 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by an experienced trader and consultant, Frans de Weert’s Exotic Options Trading offers a risk-focused approach to the pricing of exotic options. By giving readers the necessary tools to understand exotic options, this book serves as a manual to equip the reader with the skills to price and risk manage the most common and the most complex exotic options. De Weert begins by explaining the risks associated with trading an exotic option before dissecting these risks through a detailed analysis of the actual economics and Greeks rather than solely stating the mathematical formulae. The book limits the use of mathematics to explain exotic options from an economic and risk perspective by means of real life examples leading to a practical interpretation of the mathematical pricing formulae. The book covers conventional options, digital options, barrier options, cliquets, quanto options, outperformance options and variance swaps, and explains difficult concepts in simple terms, with a practical approach that gives the reader a full understanding of every aspect of each exotic option. The book also discusses structured notes with exotic options embedded in them, such as reverse convertibles, callable and puttable reverse convertibles and autocallables and shows the rationale behind these structures and their associated risks. For each exotic option, the author makes clear why there is an investor demand; explains where the risks lie and how this affects the actual pricing; shows how best to hedge any vega or gamma exposure embedded in the exotic option and discusses the skew exposure. By explaining the practical implications for every exotic option and how it affects the price, in addition to the necessary mathematical derivations and tools for pricing exotic options, Exotic Options Trading removes the mystique surrounding exotic options in order to give the reader a full understanding of every aspect of each exotic option, creating a useable tool for dealing with exotic options in practice. “Although exotic options are not a new subject in finance, the coverage traditionally afforded by many texts is either too high level or overly mathematical. De Weert's exceptional text fills this gap superbly. It is a rigorous treatment of a number of exotic structures and includes numerous examples to clearly illustrate the principles. What makes this book unique is that it manages to strike a fantastic balance between the theory and actual trading practice. Although it may be something of an overused phrase to describe this book as compulsory reading, I can assure any reader they will not be disappointed.” —Neil Schofield, Training Consultant and author of Commodity Derivatives: Markets and Applications “Exotic Options Trading does an excellent job in providing a succinct and exhaustive overview of exotic options. The real edge of this book is that it explains exotic options from a risk and economical perspective and provides a clear link to the actual profit and pricing formulae. In short, a must read for anyone who wants to get deep insights into exotic options and start trading them profitably.” —Arturo Bignardi
Book Synopsis Pricing and Hedging by : Jacopo Zani
Download or read book Pricing and Hedging written by Jacopo Zani and published by . This book was released on 2002 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Handbook of Exotic Options by : Israel Nelken
Download or read book The Handbook of Exotic Options written by Israel Nelken and published by McGraw Hill Professional. This book was released on 1996 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited by one of the foremost experts in the field of exotic options, this handbook explains the theoretical foundations, structures, and applications of these exciting new instruments. It provides an in-depth explanation of the latest uses of exotic options by institutional investors and corporate treasurers, as well as the latest thinking on advanced topics.
Book Synopsis Hedging Strategies and Minimal Variance Portfolios for European and Exotic Options in a Levy Market by : Wing Yip
Download or read book Hedging Strategies and Minimal Variance Portfolios for European and Exotic Options in a Levy Market written by Wing Yip and published by . This book was released on 2009 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are constructed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk-free bank account, the underlying asset and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results.
Book Synopsis Static Hedging and Pricing American Options by : San-Lin Chung
Download or read book Static Hedging and Pricing American Options written by San-Lin Chung and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper utilizes the static portfolio approach of Derman, Ergener, and Kani (1995) and Carr, Ellis, and Gupta (1998) to hedge and price American options under the Black-Scholes (1973) model and the constant elasticity of variance (CEV) model of Cox (1975). The static hedge portfolio (SHP) of an American option is formulated by applying the value-matching and smooth-pasting conditions at the early exercise boundaries. The numerical results indicate that the pricing efficiency of our static hedging approach is comparable to some recent advanced numerical methods such as Broadie and Detemple's (1996) binomial Black-Scholes method with Richardson extrapolation (BBSR). Furthermore, our static hedging approach provides simple and intuitive derivations of the early exercise boundaries near expiration.
Book Synopsis Pricing and static hedging of foreign exchange barrier options by : Kacper Jurga
Download or read book Pricing and static hedging of foreign exchange barrier options written by Kacper Jurga and published by . This book was released on 2012 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
