Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
The Hedging Costs Of Discrete Monitoring Of Fx Barrier Options
Download The Hedging Costs Of Discrete Monitoring Of Fx Barrier Options full books in PDF, epub, and Kindle. Read online The Hedging Costs Of Discrete Monitoring Of Fx Barrier Options ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis The Hedging Costs of Discrete Monitoring of FX Barrier Options by : Antonio Castagna
Download or read book The Hedging Costs of Discrete Monitoring of FX Barrier Options written by Antonio Castagna and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effects of the discrete monitoring of barrier options is analysed. We determine the costs that a market-maker should charge when making prices for such a kind of exotic options. The costs are related to the Delta-hedging activity around the barrier level between two subsequent monitoring dates, by assuming a reasonable hedging rule followed by the trader. We explain how our result is related to an apparently similar result by Becker and Wystup (2005) and finally we present a practical application showing that the inclusion of the Delta-hedging costs has a relevant impact on the discretely monitored barrier options prices.
Book Synopsis FX Barrier Options by : Zareer Dadachanji
Download or read book FX Barrier Options written by Zareer Dadachanji and published by Springer. This book was released on 2016-04-29 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to that of vanilla options. The FX options industry has correspondingly shown great innovation in this class of products and in the models that are used to value and risk-manage them. FX structured products commonly include barrier features, and in order to analyse the effects that these features have on the overall structured product, it is essential first to understand how individual barrier options work and behave. FX Barrier Options takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions. It presents and explains concepts in a highly intuitive manner throughout, to allow quantitatively minded traders, structurers, marketers, salespeople and software engineers to acquire a more rigorous analytical understanding of these products. The book derives, demonstrates and analyses a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation models and risk-management methods. Discussions focus on the practical realities of the market and demonstrate the behaviour of models based on real and recent market data across a range of currency pairs. It furthermore offers a clear description of the history and evolution of the different types of barrier options, and elucidates a great deal of industry nomenclature and jargon.
Book Synopsis Robust Hedging of FX Barrier Options by : Michael Haas
Download or read book Robust Hedging of FX Barrier Options written by Michael Haas and published by . This book was released on 2001 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Book Synopsis Discrete Partial Barrier Options with a Moving Barrier by : Harry M. Kat
Download or read book Discrete Partial Barrier Options with a Moving Barrier written by Harry M. Kat and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Barrier options come in many forms. In this article we study the pricing of discrete partial barrier options where the barrier level may change deterministically during the monitoring period and monitoring takes place at not-necessarily equally spaced points in time. We provide closed-form pricing formulas for the prices of these options in a Black-Scholes (1973) world. Using these results, we show that monitoring the reference index discretely instead of continuously may have a very significant effect on the prices of barrier options.
Book Synopsis FX Options and Smile Risk by : Antonio Castagna
Download or read book FX Options and Smile Risk written by Antonio Castagna and published by John Wiley & Sons. This book was released on 2010-01-19 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader. This book is a unique guide to running an FX options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures. Starting with the basic conventions related to the main FX deals and the basic traded structures of FX options, the book gradually introduces the main tools to cope with the FX volatility risk. It then goes on to review the main concepts of option pricing theory and their application within a Black-Scholes economy and a stochastic volatility environment. The book also introduces models that can be implemented to price and manage FX options before examining the effects of volatility on the profits and losses arising from the hedging activity. Coverage includes: how the Black-Scholes model is used in professional trading activity the most suitable stochastic volatility models sources of profit and loss from the Delta and volatility hedging activity fundamental concepts of smile hedging major market approaches and variations of the Vanna-Volga method volatility-related Greeks in the Black-Scholes model pricing of plain vanilla options, digital options, barrier options and the less well known exotic options tools for monitoring the main risks of an FX options’ book The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.
Book Synopsis FX Barrier Options by : Zareer Dadachanji
Download or read book FX Barrier Options written by Zareer Dadachanji and published by Palgrave Macmillan. This book was released on 2014-01-14 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a quantitative quide to barrier options in FX environments.
Book Synopsis Pricing Discretely Monitored Barrier Options by a Markov Chain by : Jin-Chuan Duan
Download or read book Pricing Discretely Monitored Barrier Options by a Markov Chain written by Jin-Chuan Duan and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The method here to price discretely monitored barrier options in both constant and time-varying volatility valuation frameworks uses a time-homogeneous Markov chain to approximate the underlying asset price process. It provides a natural framework for this pricing process because the discrete time step of the Markov chain can be easily matched with the monitoring frequency of the barrier. The underlying asset price can also be partitioned so as to place the barrier suitably. The method can efficiently handle difficult cases where the barrier is close to the initial asset price. Examples include both knock-in and knock-out barrier options. Different types of barriers such as single, double, and moving barriers are also analyzed.
Book Synopsis Option Valuation with Discrete Monitoring Barrier by : Lúcia Ventura
Download or read book Option Valuation with Discrete Monitoring Barrier written by Lúcia Ventura and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this work is to study a continuity correction for discrete barrier options. In order to calculate the price of discrete barrier options, we can use Black-Scholes formulas, where the barrier is shift by another constant which is a function of time until maturity, volatility and the barrier value. This technique was first developed by [Broadie and Glasserman 1997] for up-puts and down-calls, and was later generalized for all the barrier option by [Kou 2003].In theoretical section, we prove the principal result, following the main steps of article of [Kou 2003] were followed. Discrete Girsanov Theorem and Rescaling Property were important results to complete this proof.In the practical section we implemented the pricing formulas for discrete and continuous barrier options. We also study the accuracy of this correction on options with different inputs. Monte Carlo Simulation and Greek Letters were also implemented in this work.
Book Synopsis Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model by : Aleš Černý
Download or read book Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model written by Aleš Černý and published by . This book was released on 2019 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine optimal quadratic hedging of barrier options in a discretely sampled exponential Lévy model that has been realistically calibrated to reflect the leptokurtic nature of equity returns. Our main finding is that the impact of hedging errors on prices is several times higher than the impact of other pricing biases studied in the literature.
Book Synopsis Barrier options pricing and hedging with simulations by : Orcun Kaya
Download or read book Barrier options pricing and hedging with simulations written by Orcun Kaya and published by . This book was released on 2007 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis FX Options and Structured Products by : Uwe Wystup
Download or read book FX Options and Structured Products written by Uwe Wystup and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been an explosive growth in the number of corporates,investors and financial institutions turning to structured productsto achieve cost savings, risk controls and yield enhancements.However, the exact nature, risks and applications of these productsand solutions can be complex, and problems arise if the fundamentalbuilding blocks and principles are not fully understood. This bookexplains the most popular products and strategies with a focus oneverything beyond vanilla options, dealing with these products in aliterate yet accessible manner, giving practical applications andcase studies. A special emphasis on how the client uses the products, withinterviews and descriptions of real-life deals means that it willbe possible to see how the products are applied in day-to-daysituations – the theory is translated into practice. Note: CD-ROM/DVD and other supplementary materials arenot included as part of eBook file.
Book Synopsis Discrete Option Replication with Transactions Costs by : Peter Albert Abken
Download or read book Discrete Option Replication with Transactions Costs written by Peter Albert Abken and published by . This book was released on 1988 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb
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.
Book Synopsis Discrete Option Replication with Transactions Cost by : Peter A. Abken
Download or read book Discrete Option Replication with Transactions Cost written by Peter A. Abken and published by . This book was released on 1988 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis FX Options and Structured Products by : Uwe Wystup
Download or read book FX Options and Structured Products written by Uwe Wystup and published by John Wiley & Sons. This book was released on 2017-06-30 with total page 649 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and balance of theory and practice only Uwe Wystup can deliver, this fully revised edition offers authoritative solutions for the real world in an easy-to-access format. See how specific products actually work through detailed case studies featuring clear examples of FX options, common structures and custom solutions. This complete resource is both a wellspring of ideas and a hands-on guide to structuring and executing your own strategies. Distinguish yourself with a valued skillset by: Working through practical and thought-provoking challenges in more than six dozen exercises, all with complete solutions in a companion volume Gaining a working knowledge of the latest, most popular products, including accumulators, kikos, target forwards and more Getting close to the everyday realities of the FX derivatives market through new, illuminating case studies for corporates, municipalities and private banking FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.
Book Synopsis Pricing Continuously Monitored Barrier Options Under the Sabr Model by : Nian Yang
Download or read book Pricing Continuously Monitored Barrier Options Under the Sabr Model written by Nian Yang and published by . This book was released on 2019 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative contracts in the FX markets. In this paper, we develop closed-form formulas to approximate various types of barrier option prices (down-and-out/in, up-and-out/in) under the SABR model. We first derive an approximate formula for the survival density. The barrier option price is the one-dimensional integral of its payoff function and the survival density, which can be easily implemented and quickly evaluated. The approximation error of the survival density is also analyzed. To the best of our knowledge, it is the first time that analytical (approximate) formulas for the survival density and the barrier option prices for the SABR model are derived. Numerical experiments demonstrate the validity and efficiency of these formulas.
