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Book Cover
Author Herwig, Tobias

Title Market-conform valuation of options / Tobias Herwig
Published Berlin : Springer, ©2006


Description 1 online resource (viii, 104 pages) : illustrations
Series Lecture notes in economics and mathematical systems, 0075-8442 ; 571
Lecture notes in economics and mathematical systems ; 571. 0075-8442
Contents 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
Summary 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
Analysis economie
management science
banking sector
Management studies, Business Administration, Organizational Science (General)
Economics (General)
Management, bedrijfskunde, organisatiekunde (algemeen)
Economie (algemeen)
Bibliography Includes bibliographical references
Notes Summary in German
Print version record
In Springer e-books
Subject Options (Finance) -- Prices
BUSINESS & ECONOMICS -- Investments & Securities -- Options.
Science économique.
Economie de l'entreprise.
Options (Finance) -- Prices.
Monte Carlo-methode.
Form Electronic book
ISBN 9783540308386