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Stochastic Interest Rates Changing Volatility And The Pricing Of Options On Stock Index Futures
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Book Synopsis Stochastic Interest Rates, Changing Volatility and the Pricing of Options on Stock Index Futures by : Hun Young Park
Download or read book Stochastic Interest Rates, Changing Volatility and the Pricing of Options on Stock Index Futures written by Hun Young Park and published by . This book was released on 1984 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility and Correlation by : Riccardo Rebonato
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Book Synopsis Intermediate Futures And Options: An Active Learning Approach by : Cheng Few Lee
Download or read book Intermediate Futures And Options: An Active Learning Approach written by Cheng Few Lee and published by World Scientific. This book was released on 2023-10-16 with total page 1001 pages. Available in PDF, EPUB and Kindle. Book excerpt: Futures and Options are concerned with the valuation of derivatives and their application to hedging and speculating investments. This book contains 22 chapters and is divided into five parts. Part I contains an overview including a general introduction as well as an introduction to futures, options, swaps, and valuation theories. Part II: Forwards and Futures discusses futures valuation, the futures market, hedging strategies, and various types of futures. Part III: Option Theories and Applications includes both the basic and advanced valuation of options and option strategies in addition to index and currency options. Part IV: Advanced Analyses of Options takes a look at higher level strategies used to quantitatively approach the analysis of options. Part V: Special Topics of Options and Futures covers the applications of more obscure and alternative methods in derivatives as well as the derivation of the Black-Scholes Option Pricing Model.This book applies an active interdisciplinary approach to presenting the material; in other words, three projects involving the use of real-world financial data on derivative, in addition to homework assignments, are made available for students in this book.
Book Synopsis Relative Pricing of Options with Stochastic Volatility by : Olivier Ledoit
Download or read book Relative Pricing of Options with Stochastic Volatility written by Olivier Ledoit and published by . This book was released on 1998 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers a new approach for pricing options on assets with stochastic volatility. We start by constructing the quot;surfacequot; of Black-Scholes implied volatilities for (readily observable) liquid, European call options with varying strike prices and maturities. Then, we show that the implied volatility of an at-the-money call option with time-to-maturity going tozero is equal to the underlying asset's instantaneous (stochastic) volatility. We then model the stochastic processes followed by the implied volatilities of options of all maturities and strike prices jointly with the stock price, and find a no-arbitrage condition that their drift must satisfy. Finally, we use the resulting arbitrage-free joint process for the stock price and its volatility to price other derivatives, such as standard but illiquid options as well as exotic options using numerical methods. The great advantage of our approach is that, when pricing these other derivatives, we are secure in the knowledge that the model values the hedging instruments - namely the stock and the simple, liquid options - consistently with the market. Our approach can easily be extended to allow for stochastic interest rates and a stochastic dividend yield, which may be particularly relevant to the pricing of currency and commodity options. We can also extend our model to price bond options when the term structure of interest rates has stochastic volatility.
Download or read book Options written by Lane Hughston and published by . This book was released on 1999 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and enlightening journey through the past, present and future of option pricing.
Book Synopsis Pricing Efficiency in the Long-term Index Options Market by : Anuradha Kandikuppa
Download or read book Pricing Efficiency in the Long-term Index Options Market written by Anuradha Kandikuppa and published by . This book was released on 1999 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing and Hedging Index Options Under Stochastic Volatility by : Saikat Nandi
Download or read book Pricing and Hedging Index Options Under Stochastic Volatility written by Saikat Nandi and published by . This book was released on 1996 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility by : Alexander van Haastrecht
Download or read book Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility written by Alexander van Haastrecht and published by . This book was released on 2009 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility, for which we use a generic multi-currency framework. We allow for a general correlation structure between the drivers of the volatility, the inflation index, the domestic (nominal) and the foreign (real) rates. Having the flexibility to correlate the underlying FX/Inflation/Stock index with both stochastic volatility and stochastic interest rates yields a realistic model, which is of practical importance for the pricing and hedging of options with a long-term exposure. We derive explicit valuation formulas for various securities, such as vanilla call/put options, forward starting options, inflation-indexed swaps and inflation caps/floors. These vanilla derivatives can be valued in closed-form under Schobel and Zhu (1999) stochastic volatility, whereas we devise an (Monte Carlo) approximation in the form of a very effective control variate for the general Heston (1993) model. Finally, we numerical investigate the quality of this approximation and consider a calibration example to FX market data.
Book Synopsis Pricing American Options with Stochastic Interest Rates by : Kaushik I. Amin
Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik I. 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 Jumps and Stochastic Volatility by : David S. Bates
Download or read book Jumps and Stochastic Volatility written by David S. Bates and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and various submodels are estimated over 1984-91, and are tested for consistency with the $/DM futures process and the implicit volatility sample path. The parameters implicit in options are found to be inconsistent with the time series properties of implicit volatilities, but qualitatively consistent with log- differenced futures prices. No economically significant implicit expectations of exchange rate jumps were found in full-sample estimation, which is consistent with the reduced leptokurtosis of $/DM weekly exchange rate changes over 1984-91 relative to earlier periods.
Book Synopsis Interest Rate and Stock Index Futures and Options by : Robert W. Kolb
Download or read book Interest Rate and Stock Index Futures and Options written by Robert W. Kolb and published by . This book was released on 1985 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Options Futures and Other Derivatives by : John C Hull
Download or read book Options Futures and Other Derivatives written by John C Hull and published by Pearson Education India. This book was released on with total page 930 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the first edition of this book was published in 1988, there have been many developments in the options and the derivatives markets. The 10th edition of Options, Futures and Other Derivatives has taken into account these fast-paced changes and presents the reader with an up-to- date scenario. Like earlier editions, this book has been designed to serve the wider spectrum of the market. It is appropriate for students pursuing graduate courses in business, economics and financial engineering. It can be used for advanced undergraduate courses involving quantitative skills. Many practitioners who are involved in derivatives markets may also
Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 738 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Can Negative Interest Rates Really Affect Option Pricing? Empirical Evidence from an Explicitly Solvable Stochastic Volatility Model by : Maria Cristina Recchioni
Download or read book Can Negative Interest Rates Really Affect Option Pricing? Empirical Evidence from an Explicitly Solvable Stochastic Volatility Model written by Maria Cristina Recchioni and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the U.S.A. and in the EURO area. This paper investigates whether the use of models which allow for negative interest rate can improve option pricing and implied volatility forecasting. This is done with special attention to Foreign eXchange and index options. To this end, we carried out an empirical analysis of the prices of call and put options on the U.S. S&P 500 index as well as on the Eurodollar futures using a generalization of the Heston model in the stochastic interest rate framework. Specifically, the dynamics of the option's underlying asset is described by two factors: a stochastic variance and a stochastic interest rate. The volatility is not allowed to be negative while the interest rate is. Explicit formulas for the transition probability density function and moments are derived. These formulas are used to efficiently estimate the model parameters. Three empirical analyses are illustrated. The first two show that the use of models which allow for negative interest rates can efficiently reproduce implied volatility and forecast option prices (i.e. S&P index and foreign exchange options). The last one studies how the U.S. three month government bond yield affects the U.S. S&P 500 index.
Book Synopsis The Pricing of Stock Index Futures by : Bradford Cornell
Download or read book The Pricing of Stock Index Futures written by Bradford Cornell and published by . This book was released on 1982 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Review of Research in Futures Markets by :
Download or read book Review of Research in Futures Markets written by and published by . This book was released on 1994 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consists of the proceedings of seminars on futures markets held by the Chicago Board of Trade.
