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Market-Conform Valuation of Options
Kategorie	Beschreibung
036a	XA-DE
037b	eng
077a	25039913X Druckausg.: ‡Herwig, Tobias: Market-conform valuation of options
087q	978-3-540-30837-9
100	Herwig, Tobias
331	Market-Conform Valuation of Options
410	Berlin, Heidelberg
412	Springer-Verlag Berlin Heidelberg
425	2006
425a	2006
433	Online-Ressource (VIII, 104 p. 10 illus, online resource)
451	Lecture Notes in Economics and Mathematical Systems ; 571
454	Lecture notes in economics and mathematical systems
455	571
501	Literaturangaben
517	Preliminaries; Acknowledgements; Contents; Introduction; Construction of Arbitrage-Free Implied Trees; Market-Conform Option Valuation; Market-Conform Valuation of American-Style; Synopsis
527	Druckausg.: ‡Herwig, Tobias: Market-conform valuation of options
540a	ISBN 978-3-540-30838-6
700	\|KFF
700	\|KFFK
700	\|BUS027000
700	\|BUS004000
700	\|*91B28
700	\|91-02
700b	\|657.8333
700b	\|658.152
700b	\|332.632283
700b	\|330
700c	\|HG1-9999
700c	\|HG4501-6051
700c	\|HG1501-HG3550
700g	1270876988 QK 600
750	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.
902s	209493364 Option
902s	208865179 Bewertung
907s	209493364 Option
907s	208865179 Bewertung
012	264357973
081	Market-Conform Valuation of Options
100	Springer E-Book
125a	Elektronischer Volltext - Campuslizenz
655e	$uhttp://dx.doi.org/10.1007/3-540-30838-5