Market-Conform Valuation of Options
- المؤلف
- Tobias Herwig
- سنة النشر
- 2006
- الناشر
- Springer
- لغة الملف
- انكليزي
- نوع الملف
- Book
- تصنيف الكتاب
- Business Administration
- تحميل الكتاب قراءة الكتاب
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.
الكلمات المفتاحية: Business and Economics / Arbitrage / Barrier Options / Computational Finance / Financial Derivatives / Numerical Methods / Option Valuation / Options
