On the Relation Between Binomial and Trinomial Option Pricing Models PDF Download
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Author: Mark Rubinstein
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 22
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Book Description
Author: Mark Rubinstein
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 22
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Book Description
Author: Vassil N. Alexandrov
Publisher: Springer
ISBN: 3540455450
Category : Computers
Languages : en
Pages : 1294
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Book Description
LNCS volumes 2073 and 2074 contain the proceedings of the International Conference on Computational Science, ICCS 2001, held in San Francisco, California, May 27 -31, 2001. The two volumes consist of more than 230 contributed and invited papers that reflect the aims of the conference to bring together researchers and scientists from mathematics and computer science as basic computing disciplines, researchers from various application areas who are pioneering advanced application of computational methods to sciences such as physics, chemistry, life sciences, and engineering, arts and humanitarian fields, along with software developers and vendors, to discuss problems and solutions in the area, to identify new issues, and to shape future directions for research, as well as to help industrial users apply various advanced computational techniques.
Author: Jiun Hong Chan
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Book Description
We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier paper, under twenty different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian third order moment matching tree with truncation, Richardson extrapolation and smoothing performs better than the trinomial trees.
Author: Domingo Tavella
Publisher: John Wiley & Sons
ISBN: 0471274798
Category : Business & Economics
Languages : en
Pages : 304
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Book Description
This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.
Author: Hanjie Shi
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this thesis, I will discuss the fundamental methods to value the options in Financial Mathematics, more specifically, the discrete time Binomial Tree Model and a generalization, the Trinomial Tree Model. This is based on the assumption that the model is risk-free and we use the replication portfolio method to find option price. In addition, I will show that the option price is depending on the numbers of steps of the underlying stock price go up/down in a small amount and the numbers of steps of stock price go up/down in large amount. But it doesn't depend on when it will occur. This shows that the option price is not only depending on the replication method. This study explains that the binomial model can only work with stock prices with low volatility.
Author: Cheng Few Lee
Publisher: World Scientific
ISBN: 9811202400
Category : Business & Economics
Languages : en
Pages : 5053
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Book Description
This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author: Robert E. Whaley
Publisher: John Wiley & Sons
ISBN: 0470086386
Category : Business & Economics
Languages : en
Pages : 962
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Book Description
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Author: Jan R. M. Röman
Publisher: Springer
ISBN: 3319340271
Category : Business & Economics
Languages : en
Pages : 509
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Book Description
This book provides an introduction to the valuation of financial instruments on equity markets. Written from the perspective of trading, risk management and quantitative research functions and written by a practitioner with many years’ experience in markets and in academia, it provides a valuable learning tool for students and new entrants to these markets. Coverage includes: ·Trading and sources of risk, including credit and counterparty risk, market and model risks, settlement and Herstatt risks. ·Numerical methods including discrete-time methods, finite different methods, binomial models and Monte Carlo simulations. ·Probability theory and stochastic processes from the financial modeling perspective, including probability spaces, sigma algebras, measures and filtrations. ·Continuous time models such as Black-Scholes-Merton; Delta-hedging and Delta-Gamma-hedging; general diffusion models and how to solve Partial Differential Equation using the Feynmann-Kac representation. ·The trading, structuring and hedging several kinds of exotic options, including: Binary/Digital options; Barrier options; Lookbacks; Asian options; Chooses; Forward options; Ratchets; Compounded options; Basket options; Exchange and Currency-linked options; Pay later options and Quantos. ·A detailed explanation of how to construct synthetic instruments and strategies for different market conditions, discussing more than 30 different option strategies. With source code for many of the models featured in the book provided and extensive examples and illustrations throughout, this book provides a comprehensive introduction to this topic and will prove an invaluable learning tool and reference for anyone studying or working in this field.
Author: H. Deutsch
Publisher: Springer
ISBN: 0230502105
Category : Business & Economics
Languages : en
Pages : 614
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Book Description
The successful first edition provided an introduction to the valuation and risk management of modern financial instruments, formulated in a precise mathematical expression and comprehensively covering all relevant topics using consistent and exact notation. In this new edition, Deutsch continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series analysis, GARCH models, differential equations, finite difference schemes, Martingales and Numeraires.
Author: Larry C. Holland
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Binomial pricing trees are often used to value options. However, binomial models can easily become very large and cumbersome. Multinomial option pricing trees can be constructed that produce results equivalent to binomial option pricing trees. The advantage of creating multinomial trees is that they are smaller and easier to construct than binomial trees. In this paper, trinomial and quintinomial option pricing trees are developed and compared to simple binomial trees, illustrating the similarities and differences. These multinomial pricing trees are much smaller and more compact because they require fewer calculations to produce results equivalent to binomial trees. Methods for valuing put and call options, European and American options, and accounting for dividends are also illustrated. Multinomial option pricing trees can be helpful to students in understanding how the models work and useful to practitioners in constructing simple option pricing models.
