Option Pricing Under Discrete and Stochastic Dividends PDF Download
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Author: Efstathios Sakkas
Publisher:
ISBN:
Category : Lévy processes
Languages : en
Pages : 246
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Book Description
Author: Efstathios Sakkas
Publisher:
ISBN:
Category : Lévy processes
Languages : en
Pages : 246
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Book Description
Author: Hans Buehler
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
Motivated by recently increased interest in trading derivatives on dividends, we present a simple, yet efficient equity stock price model with discrete stochastic proportional dividends.The model has a closed form for European option pricing and can therefore be calibrated efficiently to vanilla options on the equity. It can also be simulated efficiently with Monte-Carlo and has fast analytics to aid the pricing of derivatives on dividends.While its efficiency makes the model very appealing, it has the twin drawbacks that dividends in this model can become negative, and that it does not price in any skew on either dividends or the stock price.We present the model and also discuss various extensions to stochastic interest rates, local volatility and jumps.(The 2012 revision corrects a minor mistake in the original paper).
Author: Pierre Etore
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In the context of an asset paying affine-type discrete dividends, we present closed analytical approximations for the pricing of European vanilla options in the Black-Scholes model with time-dependent parameters. They are obtained using a stochastic Taylor expansion around a shifted lognormal proxy model. The final formulae are respectively first, second and third order approximations w.r.t. the fixed part of the dividends. Using Cameron-Martin transformations, we provide explicit representations of the correction terms as Greeks in the Black-Scholes model. The use of Malliavin calculus enables us to provide tight error estimates for our approximations. Numerical experiments show that the current approach yields very accurate results, in particular compared to known approximations of [BGS03,VW09], and quicker than the iterated integration procedure of [HHL03] or than the binomial tree method of [VN06].
Author: Ashok N. Vasvani
Publisher:
ISBN:
Category :
Languages : en
Pages : 110
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Yue-Kuen Kwok
Publisher: Springer Science & Business Media
ISBN: 3540686886
Category : Mathematics
Languages : en
Pages : 541
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Book Description
This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Author: Alan L. Lewis
Publisher:
ISBN: 9780967637211
Category :
Languages : en
Pages : 748
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Book Description
This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: Slow Reflection, Jump-Returns, & Short-term Interest Rates Spectral Theory for Jump-diffusions Joint Time Series Modelling of SPX and VIX Modelling VIX Options (and Futures) under Stochastic Volatility Stochastic Volatility as a Hidden Markov Model Continuous-time Inference: Mathematical Methods and Worked Examples A Closer Look at the Square-root and 3/2-model A Closer Look at the SABR Model Back to Basics: An Update on the Discrete Dividend Problem PDE Numerics without the Pain Exact Solution to Double Barrier Problems under a Class of Processes Advanced Smile Asymptotics: Geometry, Geodesics, and All That
Author: Fabien Le Floc'h
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Book Description
There is no exact closed form formula for pricing of European options with discrete cash dividends under the model where the underlying asset price follows a piecewise lognormal process with jumps at dividend ex-dates. This paper presents alternative expansions based on the technique of Etore and Gobet, leading to more robust first, second and third order expansions accross the range of strikes and the range of dividend dates.
Author: Victor K. Ng
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 25
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Book Description
Author: Stylianos Perrakis
Publisher: Springer
ISBN: 3030115909
Category : Business & Economics
Languages : en
Pages : 277
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Book Description
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.
