Download or read book The Analytic Valuation of American Options on Futures Contracts written by In Joon Kim and published by . This book was released on 1989 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Analytic Valuation of American Options written by In Joon Kim and published by . This book was released on 1990 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Valuation of American Options on Futures Contracts for Debt written by Andrew C. Body and published by . This book was released on 1988 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Intermediate Futures And Options An Active Learning Approach written by Cheng Few Lee and published by World Scientific. This book was released on 2023-10-16 with total page 1001 pages. Available in PDF, EPUB and Kindle. Book excerpt: Futures and Options are concerned with the valuation of derivatives and their application to hedging and speculating investments. This book contains 22 chapters and is divided into five parts. Part I contains an overview including a general introduction as well as an introduction to futures, options, swaps, and valuation theories. Part II: Forwards and Futures discusses futures valuation, the futures market, hedging strategies, and various types of futures. Part III: Option Theories and Applications includes both the basic and advanced valuation of options and option strategies in addition to index and currency options. Part IV: Advanced Analyses of Options takes a look at higher level strategies used to quantitatively approach the analysis of options. Part V: Special Topics of Options and Futures covers the applications of more obscure and alternative methods in derivatives as well as the derivation of the Black-Scholes Option Pricing Model.This book applies an active interdisciplinary approach to presenting the material; in other words, three projects involving the use of real-world financial data on derivative, in addition to homework assignments, are made available for students in this book.
Download or read book The Valuation of Options on Futures Contracts written by Krishna Ramaswamy and published by . This book was released on 1984 with total page 56 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 Advanced Options Trading written by Robert T. Daigler and published by McGraw Hill Professional. This book was released on 1994 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book thoroughly explains the options markets. Moreover, the work contains several unique features, including computer codes to calculate changes in options properties and a historic evaluation of options strategies and pricing theories. As a result, traders learn what works and what doesn't wor
Download or read book Valuation of American Futures Call Options written by Zukang Hua and published by . This book was released on 1992 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Speculation and Hedging Using Options on Futures Contracts written by Laurence Jacobson and published by . This book was released on 1983 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Accuracy and Efficiency Study of the Black Option Pricing Model written by David Leonard Neff and published by . This book was released on 1986 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 224 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 Market Conform Valuation of Options written by Tobias Herwig and published by Springer Science & Business Media. This book was released on 2006-03-12 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 The Area of Research In this thesis, we will investigate the 'market-conform' pricing of newly issued contingent claims. A contingent claim is a derivative whose value at any settlement date is determined by the value of one or more other underlying assets, e. g. , forwards, futures, plain-vanilla or exotic options with European or American-style exercise features. Market-conform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using no-arbitrage arguments. Sometimes in the literature other expressions are used for 'market-conform' valuation - 'smile-consistent' valuation or 'fair-market' valuation - that describe the same basic idea. The seminal work by Black and Scholes (1973) (BS) and Merton (1973) mark a breakthrough in the problem of hedging and pricing contingent claims based on no-arbitrage arguments. Harrison and Kreps (1979) provide a firm mathematical foundation for the Black-Scholes- Merton analysis. They show that the absence of arbitrage is equivalent to the existence of an equivalent martingale measure. Under this mea sure the normalized security price process forms a martingale and so securities can be valued by taking expectations. If the securities market is complete, then the equivalent martingale measure and hence the price of any security are unique.
Download or read book An Alternative Approach to the Valuation of American Options and Applications written by In-Moo Kim and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine the structure of American option valuation problems and derive analytic valuation formulas under general underlying security price processes by an alternative but intuitive method. For alternative diffusion processes, we derive quot;closed formquot; analytic valuation formulas and analyze the implications of asset price dynamics on the early exercise premiums of American options. In this regard, we introduce useful and interesting diffusion processes into American option pricing literature, thus providing a wide range of choices of pricing models for various American-type derivative assets. This work offers a useful analytic framework for future empirical testing and practical applications.
Download or read book Option Volatility Pricing Advanced Trading Strategies and Techniques written by Sheldon Natenberg and published by McGraw Hill Professional. This book was released on 1994-08 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a thorough discussion of volatility, the most important aspect of options trading. Shows how to identify mispriced options and to construct volatility and "delta neutral" spreads.
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.
Download or read book Fundamentals of Futures and Options written by Roger G. Clarke and published by . This book was released on 2015 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivative securities and markets have experienced tremendous worldwide growth since 1970. But even so, they are not always well understood. To remedy this situation, the authors explain the link between options and futures and the underlying security or index from which they ultimately derive their value. Pricing and hedging relationships of futures contracts, option characteristics and strategies, and option pricing and hedging relationships are also addressed. To further assist the reader, the authors include exercises to reinforce the concepts as well as a glossary. The result is an updated look at options and futures that can benefit many of us.
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.
