Download or read book Analytic approximation for the valuation of American put options on stocks with known dividends written by Edwin O. Fischer and published by . This book was released on 1989 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analytical Approximations to the Valuation of American Options written by Andreas Andrikopoulos and published by . This book was released on 2007 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The quadratic approximation to the valuation of american options on stocks is revisited, constructing a pricing approach based on the fact that the early exercise policy should be chosen to maximize the value of the option. At the first part of the paper, we apply this approach (boundary-optimality) in the setting of the pricing model suggested in Barone-Adesi and Whaley (1987). We enrich their original valuation setting with an additional parameter, computed with the help of a boundary-optimality boundary condition. This approach enhances the accuracy performance of the Barone-Adesi and Whaley (1987) approximation. In the second part of the paper we introduce a novel approximation approach, where option value is the product of two functions, one of the being a function of time and the other one being a function of the stock price. Applying the principle that the early exercise policy should maximize option value, this alternative option pricing technique provides accurate results for american call and put options.
Download or read book Computational Finance 1999 written by Yaser S. Abu-Mostafa and published by MIT Press. This book was released on 2000 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.
Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
Download or read book Valuation Empirical Analysis and Optimal Exercise of Open End Turbo Certificates written by Sebastian Paik and published by University of Bamberg Press. This book was released on 2014 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Quadratic Approximation for the Value of American Options written by Andreas Andrikopoulos and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The valuation of put options with early-exercise opportunities constitutes a major challenge of asset pricing. The option-theoretic response to this challenge relies on the estimation of the optimal exercise boundary. This paper introduces a novel quadratic approximation for the valuation of American options on common stock. The paper's contribution lies in the tradition of semi-analytical approximation of American put options, which was put forward in Barone-Adesi and Whaley (1987). Assuming that the interest rate and the volatility are constant, the early-exercise premium is modeled as a product of two functions, one being a function of time and the other being a function of the stock price. The numerical results demonstrate the accuracy of the method, over competing alternatives such as the Barone-Adesi and Whaley (1987) algorithm.
Download or read book On the Valuation of American Exchange Options written by Andreas Andrikopoulos and published by . This book was released on 2009 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: We adopt a quadratic approach to the valuation of the option to exchange one asset for another, when the option owner has the right to exercise prior to option expiration. Accurate pricing results are obtained and tested against competitive models in the literature, building on the hypothesis that option value is the product of two functions, one being a function of time, and the other one being a function of the stock prices.
Download or read book Modelling Financial Derivatives with MATHEMATICA written by William T. Shaw and published by Cambridge University Press. This book was released on 1998-12-10 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.
Download or read book Derivatives and Risk Management written by Madhumathi and published by Pearson Education India. This book was released on 2011 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: Through the incorporation of real-life examples from Indian organizations, Derivatives and Risk Management provides cutting-edge material comprising new and unique study tools and fresh, thought-provoking content. The organization of the text is designed to conceptually link a firm’s actions to its value as determined in the derivatives market. It addresses the specific needs of Indian students and managers by successfully blending the best global derivatives and risk management practices with an in-depth coverage of the Indian environment.
Download or read book Essays in Derivatives written by Don M. Chance and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Download or read book Understanding Options written by Rob Quail and published by John Wiley & Sons. This book was released on 1995-02-28 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: It's not hard to understand why options trading continues to growin popularity, especially among sophisticated investors with largestock portfolios. Options are a cheaper and therefore, inherentlyless risky way of speculating on the price movements of stocks orother under-lying goods, yet, due to their volatility, they providemore price action per dollar than do stocks. And, when traded inconjunction with stock portfolios, options can significantlyenhance an investor's ability to manipulate the risk and returncharacteristics of their entire investment. Yet, despite these andother advantages of options, many investors shy away from thishighly lucrative type of speculation because of the seemingimpenetrability of many of its underlying concepts and technicalprinciples. Now in a book that demystifies options for financial professionals,Professor Robert W. Kolb, one of the nation's leading authoritieson the subject, provides readers with a solid grounding in theprinciples and practices of options trading. An excellent resourcefor investors who need to quickly get up to speed in options,Understanding Options offers a balanced presentation that buildsswiftly from the most basic concepts and terms to advanced tradingstrategies and techniques. Written in plain English and filled withreal-life examples and case studies, it schools readers in: * All essential terms, concepts, principles, and practices * Popular trading techniques and their payoffs * Option strategies * Option hedging * Formal trading models, including the Binomial and Merton models * Options on stock indexes, foreign currency, and futures * Option pricing in both the American and European markets * The options approach to corporate securities * And much more Concise yet comprehensive, authoritative yet highly accessible,Understanding Options gives you everything you need to feel rightat home in the lucrative world of options. Comprehensive, practical, authoritative--the fastest, mostaccessible route to the lucrative world of options From the basics of what an option is to advanced techniques forprofiting from options in a variety of markets, UnderstandingOptions covers all the bases. Written by a leading internationalauthority on options trading, this practical, hands-on guide offersdetailed, step-by-step coverage of option trading techniques andtheir payoffs, option strategies, European and American optionpricing, option hedging, and much more. It also explores options onstock indexes, foreign currency, and futures, and takes a closelook at the options approach to corporate securities. A concise, yet comprehensive, introduction to options for financialprofessionals * Gets you quickly up and running with all the essential knowledgeyou need to break into the options markets * Featuring a balanced presentation that moves swiftly from basicterms and concepts to advanced trading models * Packed with easy-to-follow examples and case studies that lucidlyillustrate all points covered
Download or read book Capital Market Finance written by Patrice Poncet and published by Springer Nature. This book was released on 2022-11-07 with total page 1385 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a comprehensive and coherent presentation of almost all aspects of Capital Market Finance, providing hands-on knowledge of advanced tools from mathematical finance in a practical setting. Filling the gap between traditional finance textbooks, which tend to avoid advanced mathematical techniques used by professionals, and books in mathematical finance, which are often more focused on mathematical refinements than on practical uses, this book employs advanced mathematical techniques to cover a broad range of key topics in capital markets. In particular, it covers all primitive assets (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as well as portfolios. Throughout, the authors emphasize the methodological aspects and probabilistic foundations of financial asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is provided as needed, and over 200 fully worked numerical examples illustrate the theory. Based on the authors' renowned master's degree courses, this book is written for students in business and finance, as well as practitioners in quantitative finance. Apart from an undergraduate-level knowledge of calculus, linear algebra and probability, the book is self-contained with no prior knowledge of market finance required.
Download or read book Investment Management written by Ramanna Vishwanath and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 623 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sound investment decisions require an in-depth knowledge of the financial markets and available financial instruments. This book provides students and professionals with an understanding of the role and activities of an equity security analyst within the investment process. Emphasis is on understanding the process of analyzing companies; the valuation process; and the challenges of achieving success in a highly competitive capital market. The authors present a comprehensive compendium on the financial theory, the empirical evidence and the mathematical tools that form the underlying principles of investment decisions.
Download or read book American Style Derivatives written by Jerome Detemple and published by CRC Press. This book was released on 2005-12-09 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and extends the analysis to American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options. It also reviews numerical methods for option pricing and compares their relative performance. Ideal for students and researchers in quantitative finance, this material is accessible to those with a background in stochastic processes or derivative securities.
Download or read book The Valuation of Compound Options and American Calls on Dividend Paying Stocks with Time Varying Volatility written by Steven B. Raymar and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends Geske's (1979a) compound European call option pricing model and the Roll (1977), Geske (1979b), and Whaley (1981) (RGW) American call pricing model to the case where the variance of the underlying asset changes deterministically. The theoretical analysis shows that the generalized models use integrals of the time-varying variance in the same way as Merton's (1973) generalization of the Black and Scholes (1973) European option pricing model. The resulting analytic expressions require two variance parameters and an adjusted correlation coefficient for the relevant bivariate normal distribution. The comparison of our time-varying model with RGW reveals small differences which may vary in sign. For at-the-money options, if stock variability decreases after dividend payment dates, then initial RGW prices are biased low; conversely, RGW prices are too high if variability has a tendency to increase after dividends.
Download or read book Pricing Options with Futures Style Margining written by Alan White and published by Routledge. This book was released on 2014-02-04 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.
Download or read book Analytic Approximation for Prices of American Options Time Dependent Settings Proportional and Discrete Dividends written by Yuriy Shkolnikov and published by . This book was released on 2014 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper introduces a fast analytic price approximations for American options on log-normal or close to log-normal (DVM) underlying assets with discrete time-dependent parameters (term structure) and two types of dividends: proportional and discrete-strike convention.
