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Market-Conform Valuation of Options
Tobias Herwig
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Description for Market-Conform Valuation of Options
Paperback. Focuses on the development of approaches for the market-conform valuation of various derivatives. This book presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. It can be used to price and hedge a range of plain-vanilla and exotic options. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 114 pages, 10 black & white illustrations, 12 black & white tables, biography. BIC Classification: KC; PB. Category: (UU) Undergraduate. Dimension: 234 x 156 x 6. Weight in Grams: 400.
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, plain-vanilla or exotic options with European or American-style exercise features. Market-conform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using no-arbitrage arguments. Sometimes in the ... Read more
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, plain-vanilla or exotic options with European or American-style exercise features. Market-conform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using no-arbitrage arguments. Sometimes in the ... Read more
Product Details
Format
Paperback
Publication date
2005
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
114
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
106
Place of Publication
Berlin, Germany
ISBN
9783540308379
SKU
V9783540308379
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Market-Conform Valuation of Options
From the reviews: "This book is the author’s doctoral thesis. It is for students and professionals in option pricing and related topics. The focus of this book lays on the development of new approaches of market-conform valuation of derivatives. The new approaches are demonstrated by some examples." (Klaus Ehemann, Zentralblatt MATH, Vol. 1116 (18), 2007) ... Read more