Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
The Impact Of Jumps On American Option Pricing
Download The Impact Of Jumps On American Option Pricing full books in PDF, epub, and Kindle. Read online The Impact Of Jumps On American Option Pricing 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 Impact of Jumps on American Option Pricing by : Boda Kang
Download or read book The Impact of Jumps on American Option Pricing written by Boda Kang and published by . This book was released on 2019 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the importance of asset and volatility jumps in American option pricing models. Using the Heston (1993) stochastic volatility model with asset and volatility jumps and the Hull and White (1987) short rate model, American options are numerically evaluated by the Method of Lines. The calibration of these models to S&P 100 American options data reveals that jumps, especially asset jumps, play an important role in improving the models' ability to fit market data. Further, asset and volatility jumps tend to lift the free boundary, an effect that augments during volatile market conditions, while the additional volatility jumps marginally drift down the free boundary. As markets turn more volatile and exhibit jumps, American option holders become more prudent with their exercise decisions, especially as maturity of the options approaches.
Book Synopsis American Option Pricing in a Jump-Diffusion Model by : Jeremy Berros
Download or read book American Option Pricing in a Jump-Diffusion Model written by Jeremy Berros and published by LAP Lambert Academic Publishing. This book was released on 2010-09 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many alternative models have been developed lately to generalize the Black-Scholes option pricing model in order to incorporate more empirical features. Brownian motion and normal distribution have been used in this Black-Scholes option-pricing framework to model the return of assets. However, two main points emerge from empirical investigations: (i) the leptokurtic feature that describes the return distribution of assets as having a higher peak and two asymmetric heavier tails than those of the normal distribution, and (ii) an empirical phenomenon called "volatility smile" in option markets. Among the recent models that addressed the aforementioned issues is that of Kou (2002), which allows the price of the underlying asset to move according to both Brownian increments and double-exponential jumps. The aim of this thesis is to develop an analytic pricing expression for American options in this model that enables us to e±ciently determine both the price and related hedging parameters.
Book Synopsis The Numerical Solution of the American Option Pricing Problem by : Carl Chiarella
Download or read book The Numerical Solution of the American Option Pricing Problem written by Carl Chiarella and published by World Scientific. This book was released on 2014-10-14 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers'' experiences with these approaches over the years. Contents: Introduction; The Merton and Heston Model for a Call; American Call Options under Jump-Diffusion Processes; American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics OCo The Transform Approach; Representation and Numerical Approximation of American Option Prices under Heston; Fourier Cosine Expansion Approach; A Numerical Approach to Pricing American Call Options under SVJD; Conclusion; Bibliography; Index; About the Authors. Readership: Post-graduates/ Researchers in finance and applied mathematics with interest in numerical methods for American option pricing; mathematicians/physicists doing applied research in option pricing. Key Features: Complete discussion of different numerical methods for American options; Able to handle stochastic volatility and/or jump diffusion dynamics; Able to produce hedge ratios efficiently and accurately"
Book Synopsis State-dependent Jump Risks and American Option Pricing: an Empirical Study of the Gold Futures Market by : Yu Min Lian
Download or read book State-dependent Jump Risks and American Option Pricing: an Empirical Study of the Gold Futures Market written by Yu Min Lian and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing American Options with Jumps in Asset and Volatility by : Blessing Taruvinga
Download or read book Pricing American Options with Jumps in Asset and Volatility written by Blessing Taruvinga and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Appendix To: Efficient European and American Option Pricing Under a Jump-diffusion Process by : Marcellino Gaudenzi
Download or read book Appendix To: Efficient European and American Option Pricing Under a Jump-diffusion Process written by Marcellino Gaudenzi and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Impact of Overnight Periods on Option Pricing by : Mark-Jan Boes
Download or read book The Impact of Overnight Periods on Option Pricing written by Mark-Jan Boes and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Jump Processes by : Brice V. Dupoyet
Download or read book Asymmetric Jump Processes written by Brice V. Dupoyet and published by . This book was released on 2004 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article proposes and tests a convenient, easy to use closed-form solution for the pricing of a European Call option where the underlying asset is subject to upward and downward jumps displaying separate distributions and probabilities of occurrence. The setup presented in this article lays in contrast to the assumption of lognormality in the jump magnitude generally made in the option pricing literature and can be used by academics and practitioners alike as it allows for a more precise modeling of the implied volatility smile. Through the use of both simulations and actual options data on the Samp;P 500 index it is shown that the asymmetric jump model captures deviations from the standard geometric Brownian motion with more precision than the lognormal jump setup is able to achieve.
Book Synopsis Jumps with a Stochastic Jump Rate by : Hua Fang
Download or read book Jumps with a Stochastic Jump Rate written by Hua Fang and published by . This book was released on 2002 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches by : Carl Chiarella
Download or read book Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches written by Carl Chiarella and published by World Scientific. This book was released on 2014-10-14 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.
Book Synopsis The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines by : Carl Chiarella
Download or read book The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines written by Carl Chiarella and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the problem of numerically evaluating American option prices when the dynamics of the underlying are driven by both stochastic volatility following the square root process of Heston (1993), and by a Poisson jump process of the type originally introduced by Merton (1976). We develop a method of lines algorithm to evaluate the price as well as the delta and gamma of the option, thereby extending the method developed by Meyer (1998) for the case of jump-diffusion dynamics. The accuracy of the method is tested against two numerical methods that directly solve the integro-partial differential pricing equation. The first is an extension to the jump-diffusion situation of the componentwise splitting method of Ikonen amp; Toivanen (2007). The second method is a Crank-Nicolson scheme that is solved using projected successive over relaxation which is taken as the benchmark. The relative efficiency of these methods for computing the American call option price, delta, gamma and free boundary is analysed. If one seeks an algorithm that gives not only the price but also the delta and gamma to the same level of accuracy for a given computational effort then the method of lines seems to perform best amongst the methods considered.
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Book Synopsis Pricing American Options with Jump-diffusion by Monte Carlo Simulation by :
Download or read book Pricing American Options with Jump-diffusion by Monte Carlo Simulation written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years the stock markets have shown tremendous volatility with significant spikes and drops in the stock prices. Within the past decade, there have been numerous jumps in the market; one key example was on September 17, 2001 when the Dow industrial average dropped 684 points following the 9-11 attacks on the United States. These evident jumps in the markets show the inaccuracy of the Black-Scholes model for pricing options. Merton provided the first research to appease this problem in 1976 when he extended the Black-Scholes model to include jumps in the market. In recent years, Kou has shown that the distribution of the jump sizes used in Merton's model does not efficiently model the actual movements of the markets. Consequently, Kou modified Merton's model changing the jump size distribution from a normal distribution to the double exponential distribution. Kou's research utilizes mathematical equations to estimate the value of an American put option where the underlying stocks follow a jump-diffusion process. The research contained within this thesis extends on Kou's research using Monte Carlo simulation (MCS) coupled with least-squares regression to price this type of American option. Utilizing MCS provides a continuous exercise and pricing region which is a distinct difference, and advantage, between MCS and other analytical techniques. The aim of this research is to investigate whether or not MCS is an efficient means to pricing American put options where the underlying stock undergoes a jump-diffusion process. This thesis also extends the simulation to utilize copulas in the pricing of baskets, which contains several of the aforementioned type of American options. The use of copulas creates a joint distribution from two independent distributions and provides an efficient means of modeling multiple options and the correlation between them. The research contained within this thesis shows that MCS provides a means of accurately pricing American put options where the underlying stock follows a jump-diffusion. It also shows that it can be extended to use copulas to price baskets of options with jump-diffusion. Numerical examples are presented for both portions to exemplify the excellent results obtained by using MCS for pricing options in both single dimension problems as well as multidimensional problems.
Book Synopsis Derivatives in Financial Markets with Stochastic Volatility by : Jean-Pierre Fouque
Download or read book Derivatives in Financial Markets with Stochastic Volatility written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2000-07-03 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Book Synopsis Stochastic Dominance Option Pricing by : Stylianos Perrakis
Download or read book Stochastic Dominance Option Pricing written by Stylianos Perrakis and published by Springer. This book was released on 2019-05-03 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Book Synopsis Option Pricing in a Jump Diffusion Setting by : Patrick Meredith Muchmore
Download or read book Option Pricing in a Jump Diffusion Setting written by Patrick Meredith Muchmore and published by . This book was released on 2005 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book S. Ganesan, Justin Paul written by and published by Allied Publishers. This book was released on with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
