Constructing Multinomial Option Pricing Models 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 Constructing Multinomial Option Pricing Models PDF full book. Access full book title Constructing Multinomial Option Pricing Models by Larry C. Holland. Download full books in PDF and EPUB format.
Author: Larry C. Holland
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
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.
Author: Larry C. Holland
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
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.
Author: Jeffrey Owen Katz
Publisher: McGraw Hill Professional
ISBN: 0071454705
Category : Business & Economics
Languages : en
Pages : 449
Get Book Here
Book Description
Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and “curve fitting,” and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.
Author: Dilip Madan
Publisher:
ISBN: 9780868370798
Category : Stocks
Languages : en
Pages : 50
Get Book Here
Book Description
Author: Dilip B. Madan
Publisher:
ISBN: 9780868311609
Category : Options (Finance)
Languages : en
Pages : 50
Get Book Here
Book Description
Author: John van der Hoek
Publisher: Springer Science & Business Media
ISBN: 0387316078
Category : Business & Economics
Languages : en
Pages : 309
Get Book Here
Book Description
This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience. Some of the developments and formulae appear here for the ?rst time in book form. We hope our book will appeal to various audiences. These include MBA s- dents,upperlevelundergraduatestudents,beginningdoctoralstudents,qu- titative analysts at a basic level and senior executives who seek material on new developments in ?nance at an accessible level. The basic building block in our book is the one-step binomial model where a known price today can take one of two possible values at a future time, which might, for example, be tomorrow, or next month, or next year. In this simple situation “risk neutral pricing” can be de?ned and the model can be applied to price forward contracts, exchange rate contracts and interest rate derivatives. In a few places we discuss multinomial models to explain the notions of incomplete markets and how pricing can be viewed in such a context, where unique prices are no longer available. The simple one-period framework can then be extended to multi-period m- els.TheCox-Ross-RubinsteinapproximationtotheBlackScholesoptionpr- ing formula is an immediate consequence. American, barrier and exotic - tions can all be discussed and priced using binomial models. More precise modelling issues such as implied volatility trees and implied binomial trees are treated, as well as interest rate models like those due to Ho and Lee; and Black, Derman and Toy.
Author: Mark Rubinstein
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 22
Get Book Here
Book Description
Author: Natalia Kan-Dobrosky
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Neil Chriss
Publisher: McGraw-Hill
ISBN:
Category : Business & Economics
Languages : en
Pages : 512
Get Book Here
Book Description
An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
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: Fabrice D. Rouah
Publisher: John Wiley & Sons
ISBN: 1118429206
Category : Business & Economics
Languages : en
Pages : 456
Get Book Here
Book Description
This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
