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978-3-540-30838-6

Market-Conform Valuation of Options

Publish Date: 2006

ISBN: 978-3-540-30838-6

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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.


Subject: Business and Economics, Arbitrage, Barrier Options, Computational Finance, Financial Derivatives, Numerical Methods, Option Valuation, Options