Download or read book A General Lattice Approach to Pricing American Options with Nonlognormal Distributions written by Dasheng Ji and published by . This book was released on 2000 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book American Option Pricing Under GARCH With Non Normal Innovations written by Jean-Guy Simonato and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: As it is well known from the time-series literature, GARCH processes with non-normal shocks provide better descriptions of stock returns than GARCH processes with normal shocks. However, in the derivatives literature, American option pricing algorithms under GARCH are typically designed to deal with normal shocks. We thus develop here an approach capable of pricing American options with non-normal shocks. The approach uses an equilibrium pricing model with shocks characterized by a Johnson Su distribution and a simple algorithm inspired from the quadrature approaches recently proposed in the option pricing literature. Numerical experiments calibrated to stock index return data show that this method provides accurate option prices under GARCH for non-normal and normal cases.
Download or read book Pricing American Options written by Leonid Kogan and published by Forgotten Books. This book was released on 2018-02-27 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Pricing American Options: A Duality Approach The main practical contribution of this paper is a general algorithm for constructing upper and lower bounds on the true price of the option using any approximation to the option price. We show that our bounds are tight, so that if the initial approximation is close to the true price of the option, the bounds are also guaranteed to be close. In addition, we explicitly characterize the worst-case performance of the pricing bounds. The computation of the lower bound is straightforward and relies on simulating the suboptimal exercise strategy implied by the approximate option price. The upper bound is obtained by simulating a different stochastic process that is determined by choosing an appropriate supermartingale. We justify this procedure by representing the American option price as a solution of a dual minimization problem, which is the main theoretical result of this paper. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.
Download or read book Accelerating American Option Pricing in Lattices written by Michael Curran and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article describes a method of accelerating the pricing of American options in binomial lattices in a Black-Scholes environment. The standard backward induction method for solving an option valuation problem involves computations at every node of the binomial option price tree. We show that many of the intermediate calculations are actually unnecessary, and eliminating them leads to a dramatic increase in computational efficiency. Test cases demonstrate that valuing an American put option can be accelerated by at least an order of magnitude, while yielding the identical estimate given by the standard Cox, Ross, and Rubinstein binomial tree. In addition, we discuss how similar techniques may be applied to pricing American options on interest rate derivatives and options involving multiple assets.
Download or read book A Model Free Approach to Multivariate Option Pricing written by Carole Bernard and published by . This book was released on 2019 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel model-free approach to extract a joint multivariate distribution, which is consistent with options written on individual stocks as well as on various available indices. To do so, we first use the market prices of traded options to infer the risk-neutral marginal distributions for the stocks and the linear combinations given by the indices and then apply a new combinatorial algorithm to find a compatible joint distribution. Armed with the joint distribution, we can price general path-independent multivariate options.
Download or read book Accelerating American Option Pricing in Lattices written by Mike Curran and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article describes a method of accelerating the pricing of American options in binomial lattices in a Black-Scholes environment. The standard backward induction method for solving an option valuation problem involves computations at every node of the binomial option price tree. We show that many of the intermediate calculations are actually unnecessary, and eliminating them leads to a dramatic increase in computational efficiency.Test cases demonstrate that valuing an American put option can be accelerated by at least an order of magnitude, while yielding the identical estimate given by the standard Cox, Ross, and Rubenstein binomial tree. In addition, we discuss how similar techniques may be applied to pricing American options on interest rate derivatives and options involving multiple assets.
Download or read book Lean Trees a General Approach for Improving Performance of Lattice Models for Option Pricing written by Rainer Baule and published by . This book was released on 2004 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The well-known binomial and trinomial tree models for option pricing are examined from the point of view of numerical efficiency. Common lattices use a large part of time resources for calculations which are almost irrelevant for the solution. To avoid this waste of resources, the tree is reduced to a quot;leanquot; form which yields the same order of convergence, but with a reduction of numerical effort to O(n^(3/2) log n) (where n is the number of time steps). Two instances of this Lean Tree Model are presented: a binomial one for pricing American put options and a trinomial one with largest possible generality to be used for a wide class of derivatives. In numerical tests it is shown that the proposed method leads to a significant improvement in real calculation time without loss of accuracy.
Download or read book The Journal of Derivatives written by and published by . This book was released on 1999 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Energy and Power Risk Management written by Alexander Eydeland and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Download or read book Handbook of Gold Exploration and Evaluation written by Eoin Macdonald and published by Elsevier. This book was released on 2007-02-21 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed for geologists and engineers engaged specifically in the search for gold deposits of all types and as a reference for academics in higher schools of learning, Handbook of gold exploration and evaluation provides principles and detailed explanations that underpin the correct interpretation of day-to-day experience in the field. Problems are addressed with regard to the analysis, interpretation and understanding of the general framework within which both primary and secondary gold resources are explored, developed and exploited. Handbook of gold exploration and evaluation covers a comprehensive range of topics including the nature and history of gold, geology of gold ore deposits, gold deposition in the weathering environment, sedimentation and detrital gold, gold exploration, lateritic and placer gold sampling, mine planning and practise for shallow deposits, metallurgical processes and design, and evaluation, risk and feasibility. Covers the nature and history of gold Addresses problems with regard to the framework in which gold resources are explored, developed and exploited Discusses topics including the geology of gold ore deposits, metallurgical processes and design, evaluation, risk and feasibility
Download or read book Multifractals and 1 Noise written by Benoit B. Mandelbrot and published by Springer. This book was released on 2013-12-20 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mandelbrot is a world renowned scientist, known for his pioneering research in fractal geometry and chaos theory. In this volume, Mandelbrot defends the view that multifractals are intimately interrelated through the two fractal themes of "wildness" and "self-affinity". This link involves a powerful collection of technical tools, which are of use to diverse scientific communities. Among the topics covered are: 1/f noise, fractal dimension and turbulence, sporadic random functions, and a new model for error clustering on telephone circuits.
Download or read book Introduction to Malliavin Calculus written by David Nualart and published by Cambridge University Press. This book was released on 2018-09-27 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: A compact introduction to this active and powerful area of research, combining basic theory, core techniques, and recent applications.
Download or read book Stochastic Calculus of Variations in Mathematical Finance written by Paul Malliavin and published by Springer Science & Business Media. This book was released on 2006-02-25 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Highly esteemed author Topics covered are relevant and timely
Download or read book Fundamentals of Sum Frequency Spectroscopy written by Y. R. Shen and published by Cambridge University Press. This book was released on 2016-02-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first book on the topic, and written by the founder of the technique, this comprehensive resource provides a detailed overview of sum-frequency spectroscopy, its fundamental principles, and the wide range of applications for surfaces, interfaces, and bulk. Beginning with an overview of the historical context, and introductions to the basic theory of nonlinear optics and surface sum-frequency generation, topics covered include discussion of different experimental arrangements adopted by researchers, notes on proper data analysis, an up-to-date survey commenting on the wide range of successful applications of the tool, and a valuable insight into current unsolved problems and potential areas to be explored in the future. With the addition of chapter appendices that offer the opportunity for more in-depth theoretical discussion, this is an essential resource that integrates all aspects of the subject and is ideal for anyone using, or interested in using, sum-frequency spectroscopy.
Download or read book The Property casualty Insurance Industry written by Coopers & Lybrand and published by . This book was released on 1998 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report reviews the key features and public policy issues regarding the property & casualty insurance industry in Canada. It begins with an overview of the business and structure of the industry: the nature and composition of the property and casualty business, the industry in the context of the Canadian financial services sector, financial structure, and regulation of the industry. It then discusses the following issues: the financial capacity of the industry to handle claims resulting from a major earthquake; the likelihood of major industry consolidation; potential changes in the industry's distribution system in the near future; and the impact of technology in general.
