Quasirandom Tree Method for Pricing American Style Derivatives PDF Download
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Author:
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Category :
Languages : en
Pages : 22
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Author:
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ISBN:
Category :
Languages : en
Pages : 22
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Author: 日本オペレーションズ・リサーチ学会
Publisher:
ISBN:
Category : Operations research
Languages : en
Pages : 582
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Author: Eric Benhamou
Publisher: World Scientific
ISBN: 9812566899
Category : Business & Economics
Languages : en
Pages : 411
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Book Description
This book provides a broad description of the financial derivatives business from a practitioner's point of view, with a particular emphasis on fixed income derivatives, a specific development on fixed income derivatives and a practical approach to the field. With particular emphasis on the concrete usage of mathematical models, numerical methods and the pricing methodology, this book is an essential reading for anyone considering a career in derivatives either as a trader, a quant or a structurer.
Author: Jerome Detemple
Publisher: Chapman and Hall/CRC
ISBN: 9781584885672
Category : Mathematics
Languages : en
Pages : 248
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Book Description
While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are constantly emerging in response to evolving economic conditions and regulations. Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with an emphasis on the valuation of American options on dividend-paying assets. The book begins with a review of valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Ito process and the interest rate is stochastic and then extends the analysis to American contingent claims. In this context the author lays out the basic valuation principles for American claims and describes instructive representation formulas for their prices. The results are applied to standard American options in the Black-Scholes market setting as well as to a variety of exotic contracts such as barrier, capped, and multi-asset options. He also reviews numerical methods for option pricing and compares their relative performance. The author explains all the concepts using standard financial terms and intuitions and relegates proofs to appendices that can be found at the end of each chapter. The book is written so that the material is easily accessible not only to those with a background in stochastic processes and/or derivative securities, but also to those with a more limited exposure to those areas.
Author:
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ISBN:
Category : Mathematics
Languages : en
Pages : 852
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Author: Christian Jonen
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Category :
Languages : en
Pages : 0
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Author: Denis Belomestny
Publisher:
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Category :
Languages : en
Pages : 16
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Author: Mark Nathan Broadie
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 288
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Book Description
An insightful collection of 35+ articles encapsulating advances in financial derivatives, selected by two well-respected academics.
Author: Les Clewlow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 350
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Author: Alexander Esse
Publisher:
ISBN: 9783668726383
Category :
Languages : en
Pages : 40
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Seminar paper from the year 2017 in the subject Business economics - Investment and Finance, grade: 1,00, University of Tubingen, language: English, abstract: In this assignment we approximate Oldrich Vasicek's (1977) term structure model with a binomial approach and show that it is convenient to use a recombining binomial tree to value interest rate derivatives in the Vasicek model. First, we illustrate that our applied binomial approximations converge to the dynamic continuous-time Vasicek model with an increasing number of time steps (subperiods). Furthermore, we apply the binomial approach to value a Discount Bond, Coupon Bond and a Futures Contract on both a Discount and Coupon Bond. The resulting approximations will be compared to the respective analytical solution, which we use as a benchmark. Thirdly, we determine the fair value of both an European and American Call and Put on a Discount Bond and Coupon Bond, respectively. We demonstrate that our estimated binomial prices converge with an increasing number of time steps. Moreover, we analyze both the behaviour of a Sraddle on a Discount Bond and the Early Exercise Premium of the considered American Options as a function of spot interest rates. We obtain all results shown in this report from the software "Matlab." Hence, the submitted "m.files" should be taken as a reference for a better understanding of the calculation procedures described in this report (Relevant Code is depicted in the Appendices). Furthermore, to reduce computational effort and required time to run our code we apply a joint calculation of specific approximations rather than run a code individually for each Task. This is mainly because some specific securities and interest rate derivatives require the same underlying and identical matrices of the interest rates and transition probabilities from the binomial trees for the approximation procedure. This approach is suitable because we apply the identical number of subperiods for specific
