Download or read book Pricing Barrier Options use of Numerical Simulation Methods written by Chiranjeet and published by . This book was released on 1998 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing Barrier Options with Numerical Methods written by Candice Natasha De Ponte and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Barrier options -- Black-Scholes -- Binomial method -- Trinomial method -- Monte Carlo simulation -- Finite difference method.

Download or read book Pricing Barrier Options with Numerical Methods written by Candice Natasha De Ponte and published by . This book was released on 2013 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and published by World Scientific Publishing Company. This book was released on 2005-07-18 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Pricing Barrier and Lookback Options Using Finite Difference Numerical Methods written by Nneka Ozioma Umeorah and published by . This book was released on 2017 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Black-Scholes model -- Lookback options -- Barrier options -- Finite difference methods -- Monte-Carlo simulation -- Antithetic Monte-Carlo simulation.

Download or read book Natural medicine for plants written by and published by . This book was released on 2004 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces 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.

Download or read book Pricing and Hedging Partial Barrier Options written by Iain Douglas Clayton and published by . This book was released on 1998 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump Diffusion Process written by Sheldon Ross and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We present efficient simulation procedures for pricing barrier options when the underlying security price follows a geometric Brownian motion with jumps. Metwally and Atiya [2002] developed a simulation approach for pricing knock-out options in the same setting, but no variance reduction was introduced. We improve upon Metwally and Atiya's method by innovative applications of well-known variance reduction techniques. We also show how to use simulation to price knock-in options. Numerical examples show that our proposed Monte Carlo procedures lead to substantial variance reduction as well as a reduction in computing time.

Download or read book Robust Static Super Replication of Barrier Options written by Jan H. Maruhn and published by Walter de Gruyter. This book was released on 2009-07-14 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.

Download or read book Pricing Barrier Options Using Various Numerical Techniques written by Pongsthorn Ingpochai and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Numerical Methods in Finance and Economics written by Paolo Brandimarte and published by John Wiley & Sons. This book was released on 2013-06-06 with total page 501 pages. Available in PDF, EPUB and Kindle. Book excerpt: A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

Download or read book Numerical Mathematics written by Alfio Quarteroni and published by Springer. This book was released on 2017-01-26 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to provide the mathematical foundations of numerical methods, to analyze their basic theoretical properties and to demonstrate their performances on examples and counterexamples. Within any specific class of problems, the most appropriate scientific computing algorithms are reviewed, their theoretical analyses are carried out and the expected results are verified using the MATLAB software environment. Each chapter contains examples, exercises and applications of the theory discussed to the solution of real-life problems. While addressed to senior undergraduates and graduates in engineering, mathematics, physics and computer sciences, this text is also valuable for researchers and users of scientific computing in a large variety of professional fields.

Download or read book Implementing Value at Risk written by Philip Best and published by John Wiley & Sons. This book was released on 2000-11-21 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment

Download or read book The Valuation of Exotic Barrier Options and American Options Using Monte Carlo Simulation written by Pokpong Chirayukool and published by . This book was released on 2011 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fractals and Fractional Calculus in Continuum Mechanics written by Alberto Carpinteri and published by Springer. This book was released on 2014-05-04 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is characterized by the illustration of cases of fractal, self-similar and multi-scale structures taken from the mechanics of solid and porous materials, which have a technical interest. In addition, an accessible and self-consistent treatment of the mathematical technique of fractional calculus is provided, avoiding useless complications.

Download or read book Methods for Pricing and Hedging Plain Vanilla Barrier Options written by Emmanuel Deogratias and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Black Scholes Model (1973) is used to price and hedge plain vanilla barrier options on a non dividend paying asset. Under this model, Monte Carlo Simulation, Stratified sampling, Simpson's rule, Trapezoidal rule and Antithetic variable techniques have been used to determine the value and hedging portfolio of a plain vanilla barrier option. Also stochastic dynamic programming has been developed so as to determine the price and hedging portfolio of the option. Finally the methods are compared to each other in terms of accuracy. It is found that stratified sampling technique is the best method after comparing with other methods.