Download or read book A new fast and robust technique for pricing and hedging Asian options written by Georgios Vasileiou Dalakouras and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A New Fast and Robust Technique for Pricing and Hedging Asia Options written by Georgios Vasileiou Dalakouras and published by . This book was released on 2004 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Abstracts of Papers Presented to the American Mathematical Society written by American Mathematical Society and published by . This book was released on 2003 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2004 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing and Hedging Asian Options written by Jean-Paul Décamps and published by . This book was released on 1994 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Efficient and Stable Method for Short Maturity Asian Options written by Rupak Chatterjee and published by . This book was released on 2017 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we develop a Markov chain-based approximation method to price arithmetic Asian options for short maturities under the case of geometric Brownian motion. It has the advantage of being a closed-form approximation involving only matrices. It is an accurate, efficient, and stable method for the pricing and hedging of short maturity arithmetic Asian options for which previous methods in the literature have shown either slower convergence or instabilities in hedging parameters. We also consider the pricing and hedging of floating-strike Asian options and fixed-strike in-progress Asian options, and demonstrate that our method is as good as and sometimes better than existing approximation methods in the literature.
Download or read book An Accurate and Efficient Method for Pricing Asian Options written by Chuang-Chang Chang and published by . This book was released on 2003 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we provide an accurate and efficient method for valuing Asian options that works well for the low and medium volatility as well as longer average time window. Numerical results show that our method significantly outperforms the other analytic approximation methods in the literature. The pricing errors in terms of mean square errors for calculating a bundle of Asian options are less than one percent. Our method is fast and efficient compared to the Monte Carlo benchmark method adopted as well.
Download or read book Pricing and Hedging Asian Options written by Vineet B. Lakhlani and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper will mainly focus on a path-dependent option0́4Asian options. The value of a path-dependent option is affected by how the price of the underlying asset was reached at the time of maturity. Unlike a vanilla European option, the pay-off of an Asian option is a function of multiple points up to and including the price at expiry. Asian options are some of the most common exotic options traded. As P. Wilmott (2006) and E. G. Haug (2007) both point out, Asian options are popular in the OTC energy markets and in other commodity markets lacking liquidity. [9]
Download or read book Simple Fast and Flexible Pricing of Asian Options written by Timothy Klassen and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We describe a modified binomial method that provides a simple and unified framework for the valuation of various kinds of Asian options (American or European, arithmetic or geometric, fixed or floating strike, discrete or continuous sampling and dividends, partial Asians). The Greeks can also be calculated accurately and stably. The method is a refinement of that of Hull and White, where at each node of a standard binomial tree one also considers a table of possible values of the average. To avoid the exponential explosion of the size of this table in the arithmetic average case, one considers a smaller set of representative values for the average, interpolates when necessary, and otherwise uses standard backward recursion to value the option. We present an efficient implementation of this idea. In particular, we insure that option values are smooth as a function of the number of binomial time periods N, so that Richardson extrapolation can be applied to eliminate 1/N (and sometimes higher-order) corrections, dramatically increasing the speed of the method. We provide detailed checks and illustrations, showing that our approach can achieve any desired level of accuracy for convection or diffusion dominated regimes and for long or short maturities. It is typically much faster than standard PDE and Monte Carlo approaches.
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Closed Form Analytic Pricing and Hedging of Arithmetic Asian Options Using a Reciprocal Gamma Distribution written by Moshe A. Milevsky and published by . This book was released on 2008 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop a better approximation for the price and hedging parameters of an arithmetic Asian option. We demonstrate that the distribution of the sum of a sequence of asset prices can be better approximated by the Reciprocal Gamma (as opposed to Lognormal) density function. In fact, in the limit, the distribution of the sum converges precisely to the Reciprocal Gamma density. Consequently, we are able to obtain a closed-form analytic expression for the price and hedging parameters of an Asian option which is theoretically justified, as well as more accurate, than the widely used lognormal approximation. We compare our results with previously published tables and formulas (that have appeared in RISK) and conclude that, not only is our formula easy-to-use and explain, our method is at least as good as any other algorithm available in the literature.
Download or read book Financial Econometrics Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Download or read book Pricing and Hedging Asian Style Options in Energy written by Fred Espen Benth and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading in the underlying future is restricted. Liquid trading in the future is only possible up to the start of a so-called delivery period. After the start of the delivery period, the hedge positions can not be adjusted anymore until maturity. This reflects the trading situation at the Nordic energy market Nord Pool for example. We show that there exists a unique solution to this combined continuous-discrete quadratic hedging problem if the future price process is a special semimartingale with bounded mean-variance tradeoff. Additionally, under the assumption that the future price process is a local martingale, the hedge positions before the averaging period are inherited from the market specification without trading restriction. As an application we consider three models and derive their quadratic hedge positions in explicit form, a simple Black Scholes model with time-dependent volatility, the stochastic volatility model of Barndorff-Nielsen and Shephard and an exponential additive model. Based on an exponential spot price model driven by two NIG levy processes, we determine an exponential additive model for the future price by moment matching techniques. We calculate hedge positions and determine the quadratic hedge error in a simulation study.
Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2012-03-09 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.
Download or read book The Journal of Computational Finance written by and published by . This book was released on 2004 with total page 1038 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer. This book was released on 2014-05-14 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.
Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
