Market-Conform Valuation of Options (Lecture Notes in Economics and Mathematical Systems)

by Tobias Herwig

List Price:	~~$59.95~~
Amazon Price:	$59.95 & eligible for FREE Super Saver Shipping on orders over $25.
Lowest New Price:	$30.00
Availablitiy:	Usually ships in 24 hours

Editorial Reviews
Product Description
The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.

Price is accurate as of the date/time indicated. Prices and product availability are subject to change. Any price displayed on the Amazon website at the time of purchase will govern the sale of this product.