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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,...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Herwig, Tobias (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
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.