Pricing and Hedging American Options PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Pricing and Hedging American Options PDF full book. Access full book title Pricing and Hedging American Options by Jing-Zhi Huang. Download full books in PDF and EPUB format.
Author: Jing-Zhi Huang
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Get Book Here
Book Description
In this paper, we present a new method for pricing and hedging American options along with an efficient implementation procedure. The proposed method is efficient and accurate in computing both option values and various option hedge parameters. We demonstrate the computation accuracy and efficiency of this numerical procedure in relation to other competing approaches. We also show how the method can be applied to the case of any American option for which a closed-form solution exists for the corresponding European option.
Author: Jing-Zhi Huang
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Get Book Here
Book Description
In this paper, we present a new method for pricing and hedging American options along with an efficient implementation procedure. The proposed method is efficient and accurate in computing both option values and various option hedge parameters. We demonstrate the computation accuracy and efficiency of this numerical procedure in relation to other competing approaches. We also show how the method can be applied to the case of any American option for which a closed-form solution exists for the corresponding European option.
Author: Yang Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 138
Get Book Here
Book Description
Author: Wolfgang Hafner
Publisher: Springer Science & Business Media
ISBN: 3540857117
Category : Business & Economics
Languages : en
Pages : 553
Get Book Here
Book Description
In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract. Almost like Bachelier’s now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. He derives option prices for an illustrative set of distributions, including the Normal. - This volume includes a reprint of the original German text, a translation, as well as an appreciation of Bronzin's work from various perspectives (economics, history of finance, sociology, economic history) including some details about the professional life and circumstances of the author. The book brings Bronzin's early work to light again and adds an almost forgotten piece of research to the theory of option pricing.
Author:
Publisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 97
Get Book Here
Book Description
Author: Tommaso Paletta
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
Get Book Here
Book Description
The majority of quasi-analytic pricing methods for American options are efficient near-maturity but are prone to larger errors when time-to-maturity increases. A new methodology, called the "extension"-method, is introduced to increase the accuracy of almost any existing quasi-analytic approach in pricing long-maturity American options. It relies on an approximation of the optimal exercise price near the beginning of the contract combined with existing pricing approaches so that the maturity range for which small errors are attainable is extended. The new methodology retains the quasi-analytic nature of the methods it improves on and we derive generic quasi-analytic formulae for the price of an American put as well as for its delta parameter. Our numerical study indicates that the proposed methodology considerably improves both the pricing and the hedging performance of a number of established approaches for a wide range of maturities. Furthermore, the pricing improvements are most sizeable at longer maturities, where existing approaches do not perform well.
Author: Nassim Nicholas Taleb
Publisher: John Wiley & Sons
ISBN: 9780471152804
Category : Business & Economics
Languages : en
Pages : 536
Get Book Here
Book Description
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.
Author: Carl Chiarella
Publisher: World Scientific
ISBN: 9814452629
Category : Options (Finance)
Languages : en
Pages : 223
Get Book Here
Book Description
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"
Author: Lishang Jiang
Publisher: World Scientific Publishing Company
ISBN: 9813106557
Category : Business & Economics
Languages : en
Pages : 343
Get Book Here
Book Description
From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Author: Lucia Caramellino
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
Get Book Here
Book Description
Author: Jing-zhi Huang
Publisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 26
Get Book Here
Book Description
