Download or read book Valuation of Rainbow Options Under the Jump diffusion Process written by 莊雅筑 and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book European Rainbow Option Values Under the Two Asset Merton Jump Diffusion Model written by Lynn Boen and published by . This book was released on 2019 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present a semi-closed analytical formula for the values of European call and put options on the minimum or maximum of two assets under the two-asset Merton jump-diffusion model. In addition, useful formulas for several first- and second-order Greeks of these options are derived.
Download or read book Valuation of American Options with Jump Diffusion Processes written by Kaushik I. Amin and published by . This book was released on 1990 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing Options Under Jump diffusion Processes written by David Scott Bates and published by . This book was released on 1988 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Methods for the Valuation of American Options Under Jump diffusion Processes written by Byeongwook Choi and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Jump Diffusion Option Pricing A Reexamination from an Economic Viewpoint written by Bernhard Nietert and published by . This book was released on 1997 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Options will usually elude arbitrage-oriented pricing if the underlying stock follows a jump/ diffusion process - one has to rely on equilibrium-based pricing approaches. However, all ex-isting pricing models under jumps have one in common weakness: they pay too less attention to the economic modeling of jumps, because they chiefly argue with constant, at best deter-ministicly changing jump probabilities. Hence, they imply a predictable pattern of jumps' oc-currences, which is not able to adequately depict the arrival of extraordinary and partly surpris-ing information jumps are intended to capture.Therefore, we need an economically more precise characterization of the jump phenomenon. To that end, we firstly distinguish between firm-specific and market jumps (scope of jumps) as well as between crashes and explosions (direction of jumps). Secondly, we use stochastic jump probabilities and density functions of jump amplitudes to take into account the uncertain arri-val of extraordinary information. Based on this - compared to literature - significantly modi-fied jump representation, we derive option pricing formulas in a jump/diffusion environment under exogenous and endogenous interest rate.
Download or read book Option Pricing Under Exponential Jump Diffusion Processes written by Tianren Bu and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Real Options Analysis written by Johnathan Mun and published by John Wiley & Sons. This book was released on 2012-07-02 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Mun demystifies real options analysis and delivers a powerful, pragmatic guide for decision-makers and practitioners alike. Finally, there is a book that equips professionals to easily recognize, value, and seize real options in the world around them." --Jim Schreckengast, Senior VP, R&D Strategy, Gemplus International SA, France Completely revised and updated to meet the challenges of today's dynamic business environment, Real Options Analysis, Second Edition offers you a fresh look at evaluating capital investment strategies by taking the strategic decision-making process into consideration. This comprehensive guide provides both a qualitative and quantitative description of real options; the methods used in solving real options; why and when they are used; and the applicability of these methods in decision making.
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.
Download or read book Option Pricing in the Jump diffusion Model with a Random Junp Amplitude written by B. Jensen and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Option Pricing in a Jump Diffusion Setting written by Patrick Meredith Muchmore and published by . This book was released on 2005 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Handbook of International Financial Terms written by Peter Moles and published by OUP Oxford. This book was released on 1997-03-06 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook aims to be the most comprehensive and up to date reference book available to those who are involved or could be involved in the world of finance. The financial world has a capacity for ingenious innovation and this extends to the often bewildering array and use of terms. Here you can find out what a Circus, a Firewall, an Amazon Bond, a Clean Float, a Cocktail Swap, a Butterfly, a Streaker, a Straddle and a Strangle are. As well as defining terms, the book also shows how they are used differently in different markets and countries. It also has numerous examples showing clearly the use of particular calculations and instruments; and provides details of major markets, acronyms and currencies. Reflecting the development of global financial markets this Handbook will have broad appeal around the world. It will be a reliable guide for practitioners, and those in the related professions of accounting, law and management. At the same time it will be an invaluable companion for advanced students of finance, accounting and business.
Download or read book Displaced Jump Diffusion Option Valuation written by Antonio Camara and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the jump-diffusion option pricing model of Merton (1976) and the displaced diffusion option pricing model of Rubinstein (1983) to price options on stock indices. First, we provide a theory showing that the stock index value has a positive threshold or positive lower bound if the constituent firms of the index, when their equity falls below a given value, are replaced by new firms with higher equity. Second, using equilibrium arguments in an economy where the systematic jump risk of the stock index can not be eliminated, we derive a displaced jump-diffusion (DJD) option valuation model to price options written on stock indices. Third, we test empirically our DJD option pricing model using Samp;P 500 index options data from January 1996 through April 2006. The results of the tests strongly support our theories.
Download or read book Pricing Options in Jump Diffusion Models written by Liming Feng and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new computational method for the valuation of options in jump-diffusion models. The option value function for European and barrier options satisfies a partial integro-differential equation (PIDE). This PIDE is commonly integrated in time by implicit-explicit (IMEX) time discretization schemes, where the differential (diffusion) term is treated implicitly, while the integral (jump) term is treated explicitly. In particular, the popular IMEX Euler scheme is first order accurate in time. Second order accuracy in time can be achieved by using the IMEX midpoint scheme. In contrast to the above approaches, we propose a new high-order time discretization scheme for the PIDE based on the extrapolation approach to the solution of ODEs, that also treats the diffusion term implicitly and the jump term explicitly. The scheme is simple to implement, can be added to any PIDE solver based on the IMEX Euler scheme, and is remarkably fast and accurate. We demonstrate our approach on the examples of Merton's and Kou's jump-diffusion models, diffusion-extended Variance Gamma model, as well as the two-dimensional Duffie-Pan-Singleton model with correlated and contemporaneous jumps in the stock price and its volatility. By way of example, pricing a one-year double-barrier option in Kou's jump-diffusion model, our scheme attains accuracy of $10^{-5}$ in 72 time steps (in 0.05 seconds). In contrast, it takes the first-order IMEX Euler scheme more than 1.3 million time steps (in 873 seconds) and the second-order IMEX midpoint scheme 768 time steps (in 0.49 seconds) to attain the same accuracy. Our scheme is also well suited for Bermudan options. Combining simplicity of implementation and remarkable gains in computational efficiency, we expect this method to be very attractive to financial engineering modelers.
Download or read book Path dependent Option Valuation when the Underlying Path is Discontinuous written by Chunsheng Zhou and published by . This book was released on 1997 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book American Type Options written by Dmitrii S. Silvestrov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2014-12-17 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.
Download or read book Jump diffusion Option Valuation written by Mark Edward Simpson and published by . This book was released on 2004 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
