| Document Type
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BL
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| Record Number
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993535
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| Doc. No
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b747905
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| Main Entry
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Herwig, Tobias.
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| Title & Author
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Market-conform valuation of options /\ Tobias Herwig.
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| Publication Statement
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Berlin :: Springer,, ©2006.
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| Series Statement
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Lecture notes in economics and mathematical systems,; 571
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| Page. NO
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1 online resource (viii, 104 pages) :: illustrations
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| ISBN
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3540308377
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: 3540308385
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: 6610607931
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: 9783540308379
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: 9783540308386
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: 9786610607938
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| Bibliographies/Indexes
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Includes bibliographical references.
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| Contents
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Introduction -- Construction of Arbitrage-Free Implied Trees: A New Approach -- Market-Conform Option Valuation: An Empirical Assessment of Alternative Approaches -- Market-Conform Valuation of American-Style Options via Monte Carlo Simulation -- Synopsis.
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| Abstract
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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.
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| Subject
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Options (Finance)-- Prices.
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Options (Finances)-- Prix.
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Affaires.
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BUSINESS ECONOMICS-- Investments Securities-- Options.
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Economie de l'entreprise.
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Options (Finance)-- Prices.
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Science économique.
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| Subject
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Monte Carlo-methode.
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| Subject
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Opties.
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| Subject
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Simulatiemodellen.
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| Dewey Classification
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332.632283
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| LC Classification
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HG6024.H47 2006eb
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| NLM classification
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83.03bcl
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85.33bcl
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