Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download The Valuation Of American Options With Stochastic Interest Rates full books in PDF, epub, and Kindle. Read online The Valuation Of American Options With Stochastic Interest Rates ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Teng Suan Ho
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (352 download)
Download or read book The Valuation of American Options with Stochastic Interest Rates written by Teng Suan Ho and published by . This book was released on 1996 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anthony Saunders
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (214 download)
Download or read book The Valuation of American Options with Stochastic Interest Rates written by Anthony Saunders and published by . This book was released on 1991 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kaushik I. Amin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Discrete-Time Valuation of American Options with Stochastic Interest Rates written by Kaushik I. Amin and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an arbitrage-free discrete time model to price American-style claims for which domestic term structurerisk, foreign term structure risk and currency risk are important. This model combines a discrete version of the Heath, Jarrow, Morton (1992) term structure model with the binomial model of Cox, Ross, and Rubinstein (1979). It converges (weakly) to the continuous time models in Amin and Jarrow (1991, 1992). The general model is quot;path dependentquot; and can be implemented with arbitrary volatility functions to value claims with maturity up to five years. The model is illustrated with applications to long-dated American currency warrants and a cross-rate swap from the quanto class.
Author : Kaushik Ishwar Amin
Publisher :
ISBN 13 :
Total Pages : 298 pages
Book Rating : 4.E/5 ( download)
Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik Ishwar Amin and published by . This book was released on 1989 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Albert Jan Menkveld
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (62 download)
Download or read book A Pricing Model for American Options with Stochastic Interest Rates written by Albert Jan Menkveld and published by . This book was released on 1998 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ton Vorst
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Pricing Model for American Options with Stochastic Interest Rates written by Ton Vorst and published by . This book was released on 2008 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop a new method to value American stock options with stochastic interest rates. We construct a binomial tree for the stock price divided by the price of the zero coupon bond that matures at the maturity date of the option. In fact, we construct a tree for the so-called forward risk adjusted measure. In each node of the tree the quotient of the stock price and bond price is constant and there are combinations of stock and bond prices for which immediate exercise is optimal and other combinations for which this is not the case. We derive for each node in the tree an analytic expression for the expected immediate exercise premium conditional on this quotient of stock and bond prices. This immediate exercise premium is added to the value that is derived from the familiar backward procedure. Both European and American option prices depend on the correlation between the interest rate process and the stock price process. It is interesting to see that with increasing correlation between the interest rate process and the stock price process, and hence a decreasing correlation between bond and stock prices, the values of European options increase, while the values of the early exercise premium decrease. For American options this might result in a non-monotonic relation between the correlation coefficient and the option price. Furthermore, there is evidence that the early exercise premium due to stochastic interest rates is much larger than established before by other researchers. Finally, we also consider the influence of the shape of the initial term structure.
Author : Teng Suan Ho
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (265 download)
Download or read book The Valuation of American Options in Stochastic Interest Rate Economies written by Teng Suan Ho and published by . This book was released on 1992 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kaushik I. Amin
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.3/5 ( download)
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:
Author : An Jiang
Publisher :
ISBN 13 :
Total Pages : 149 pages
Book Rating : 4.:/5 (975 download)
Download or read book American Spread Option Pricing with Stochastic Interest Rates written by An Jiang and published by . This book was released on 2016 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these assets. We consider American style spread option which allows the owners to exercise it at any time before the maturity. The complexity of pricing American spread option is that the boundary of the corresponding partial differential equation which determines the option price is unknown and the model for the underlying assets is two-dimensional.
Author : T. S. Ho
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Valuation of American Options on Bonds written by T. S. Ho and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The valuation of American-style bond options involves two important aspects that need to be modeled carefully. First, stochastic interest rates influence the volatility of the price of the bond, the underlying asset, in a complex fashion as the bond approaches maturity, and hence, the incremental value of the early exercise (American) feature. Second, the early exercise decision for such options is affected by the term structure of interest rates on future dates, since the live value of the claim on each future date depends on the discount rates on that date. These two aspects are modeling in this paper. The paper analyzes the value of American options on bonds using a generalization of the Geske-Johnson (1984) technique. The method uses as inputs the valuation of European options, and options with multiple exercise dates. It is proved that a risk-neutral valuation relationship along the lines of the Black-Scholes (1973) model holds for options exercisable on multiple dates, even under stochastic interest rates, when the price of the underlying asset is lognormally distributed. The proposed computational method uses the maximized value of these options, where the maximization is over all possible exercise dates. The value of the American option is then computed by Richardson extrapolation. The volatility of the underlying default-free bond is modeled using a two-factor model, with a short-term and a long-term interest rate factor. The paper reports the results of simulations of American option values and show how they vary with the key parameter inputs, such as the maturity of the bond, its volatility, and the option strike price.
Author : Jannick B. G. Schreiner
Publisher :
ISBN 13 :
Total Pages : 71 pages
Book Rating : 4.:/5 (861 download)
Download or read book Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates written by Jannick B. G. Schreiner and published by . This book was released on 2012 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shu-Ing Liu
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book Pricing American Call Options with Dividend and Stochastic Interest Rates written by Shu-Ing Liu and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article presents a closed form solution for pricing American stock call options with one known dividend under the Ho-Lee stochastic interest rate assumptions. Both the closed-form pricing formula and delta hedge ratio formula for the discussed American stock call options are derived. The correlation between the underlying stock price process and the discount factor process is suitably established. Numerical analyses demonstrate that there are some crucial parameters, the correlation coefficient between the stock price process and the discount factor process, and the amount of dividend, that have an impact on the option price and the delta hedge ratio. These results provide researchers and participants with some pricing and hedging applications in the real financial market.
Author : Peter Carayannopoulos
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.4/5 (91 download)
Download or read book An Investigation of the Impact of Stochastic Interest Rates on the Pricing of Equity Options written by Peter Carayannopoulos and published by . This book was released on 1993 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kaushik I. Amin
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (753 download)
Download or read book Pricing American Options on Risky Assets in a Stochastic Interest Rate Economy written by Kaushik I. Amin and published by . This book was released on 1991 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : San-Lin Chung
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (594 download)
Download or read book The Generalised Geske-Johnson Technique for the Valuation of American Options with Stochastic Interest Rates written by San-Lin Chung and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jerome Detemple
Publisher : CRC Press
ISBN 13 : 1420034863
Total Pages : 247 pages
Book Rating : 4.4/5 (2 download)
Download or read book American-Style Derivatives written by Jerome Detemple and published by CRC Press. This book was released on 2005-12-09 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and extends the analysis to American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options. It also reviews numerical methods for option pricing and compares their relative performance. Ideal for students and researchers in quantitative finance, this material is accessible to those with a background in stochastic processes or derivative securities.
Author : Elyès Jouini
Publisher : Cambridge University Press
ISBN 13 : 9780521792370
Total Pages : 324 pages
Book Rating : 4.7/5 (923 download)
Download or read book Option Pricing, Interest Rates and Risk Management written by Elyès Jouini and published by Cambridge University Press. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.
