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Market-Conform Valuation of Options
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,...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2006.
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| Edición: | 1st ed. 2006. |
| Colección: | Lecture Notes in Economics and Mathematical Systems,
571 |
| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- 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.