Download or read book Pricing American Call Options with Dividend and Stochastic Interest Rates written by Shu-Ing Liu and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article presents a closed form solution for pricing American stock call options with one known dividend under the Ho-Lee stochastic interest rate assumptions. Both the closed-form pricing formula and delta hedge ratio formula for the discussed American stock call options are derived. The correlation between the underlying stock price process and the discount factor process is suitably established. Numerical analyses demonstrate that there are some crucial parameters, the correlation coefficient between the stock price process and the discount factor process, and the amount of dividend, that have an impact on the option price and the delta hedge ratio. These results provide researchers and participants with some pricing and hedging applications in the real financial market.

Download or read book Option Pricing written by Robert A. Jarrow and published by McGraw-Hill/Irwin. This book was released on 1983 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book American Spread Option Pricing with Stochastic Interest Rates written by An Jiang and published by . This book was released on 2016 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these assets. We consider American style spread option which allows the owners to exercise it at any time before the maturity. The complexity of pricing American spread option is that the boundary of the corresponding partial differential equation which determines the option price is unknown and the model for the underlying assets is two-dimensional.

Download or read book Pricing American Call Options Under the Assumption of Stochastic Dividends an Application of the Korn Rogers Model written by S. Kruse and published by . This book was released on 2009 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Investigation of the Impact of Stochastic Interest Rates on the Pricing of Equity Options written by Peter Carayannopoulos and published by . This book was released on 1993 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Pricing Model for American Options with Stochastic Interest Rates written by Ton Vorst and published by . This book was released on 2008 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop a new method to value American stock options with stochastic interest rates. We construct a binomial tree for the stock price divided by the price of the zero coupon bond that matures at the maturity date of the option. In fact, we construct a tree for the so-called forward risk adjusted measure. In each node of the tree the quotient of the stock price and bond price is constant and there are combinations of stock and bond prices for which immediate exercise is optimal and other combinations for which this is not the case. We derive for each node in the tree an analytic expression for the expected immediate exercise premium conditional on this quotient of stock and bond prices. This immediate exercise premium is added to the value that is derived from the familiar backward procedure. Both European and American option prices depend on the correlation between the interest rate process and the stock price process. It is interesting to see that with increasing correlation between the interest rate process and the stock price process, and hence a decreasing correlation between bond and stock prices, the values of European options increase, while the values of the early exercise premium decrease. For American options this might result in a non-monotonic relation between the correlation coefficient and the option price. Furthermore, there is evidence that the early exercise premium due to stochastic interest rates is much larger than established before by other researchers. Finally, we also consider the influence of the shape of the initial term structure.

Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik I. Amin and published by . This book was released on 1992 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik Ishwar Amin and published by . This book was released on 1989 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Pricing Model for American Options with Stochastic Interest Rates written by Albert Jan Menkveld and published by . This book was released on 1998 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Pricing American Options with Stochastic Interest Rates written by Kaushik Ishwar Amin and published by . This book was released on 1992 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates written by Jannick B. G. Schreiner and published by . This book was released on 2012 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing American Options on Risky Assets in a Stochastic Interest Rate Economy written by Kaushik I. Amin and published by . This book was released on 1991 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates written by Alexey Medvedev and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Derivatives Risk Management Value written by Mondher Bellalah and published by World Scientific. This book was released on 2010 with total page 996 pages. Available in PDF, EPUB and Kindle. Book excerpt: 19.1. Numerical analysis and simulation techniques : an introduction to finite difference methods. 19.2. Application to European options on non-dividend paying stocks. 19.3. Valuation of American options with a composite volatility. 19.4. Simulation methods : Monte-Carlo method. ch. 20. Numerical methods and partial differential equations for European and American derivatives with complete and incomplete information. 20.1. Valuation of American calls on dividend-paying stocks. 20.2. American puts on dividend-paying stocks. 20.3. Numerical procedures in the presence of information costs : applications. 20.4. Convertible bonds. 20.5. Two-factor interest rate models and bond pricing within information uncertainty. 20.6. CBs pricing within information uncertainty -- pt. VIII. Exotic derivatives. ch. 21. Risk management : exotics and second-generation options. 21.1. Exchange options. 21.2. Forward-start options. 21.3. Pay-later options. 21.4. Simple chooser options. 21.5. Complex choosers. 21.6. Compound options. 21.7. Options on the maximum (minimum). 21.8. Extendible options. 21.9. Equity-linked foreign exchange options and quantos. 21.10. Binary barrier options. 21.11. Lookback options. ch. 22. Value at risk, credit risk, and credit derivatives. 22.1. VaR and riskmetrics : definitions and basic concepts. 22.2. Statistical and probability foundation of VaR. 22.3. A more advanced approach to VaR. 22.4. Credit valuation and the creditmetrics approach. 22.5. Default and credit-quality migration in the creditmetrics approach. 22.6. Credit-quality correlations. 22.7. Portfolio management of default risk in the Kealhofer, McQuown and Vasicek (KMV) approach. 22.8. Credit derivatives : definitions and main concepts. 22.9. The rating agencies models and the proprietary models.

Download or read book Essays on Derivatives Pricing Theory written by Ronald C. Heynen and published by . This book was released on 1995 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Derivatives Pricing written by Robert A. Jarrow and published by World Scientific. This book was released on 2008 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath?Jarrow?Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.