American-Style Derivatives: Valuation and Computation: Chapman and Hall/CRC Financial Mathematics Series
Autor Jerome Detempleen Limba Engleză Paperback – 23 oct 2019
The book begins with a review of valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Ito process and the interest rate is stochastic and then extends the analysis to American contingent claims. In this context the author lays out the basic valuation principles for American claims and describes instructive representation formulas for their prices. The results are applied to standard American options in the Black-Scholes market setting as well as to a variety of exotic contracts such as barrier, capped, and multi-asset options. He also reviews numerical methods for option pricing and compares their relative performance.
The author explains all the concepts using standard financial terms and intuitions and relegates proofs to appendices that can be found at the end of each chapter. The book is written so that the material is easily accessible not only to those with a background in stochastic processes and/or derivative securities, but also to those with a more limited exposure to those areas.
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Specificații
ISBN-13: 9780367391584
ISBN-10: 0367391589
Pagini: 248
Dimensiuni: 156 x 234 mm
Greutate: 1.1 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series
ISBN-10: 0367391589
Pagini: 248
Dimensiuni: 156 x 234 mm
Greutate: 1.1 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series
Cuprins
Introduction. European Contingent Claims. American Contingent Claims. Standard American Options. Barrier and Capped Options. Options on Multiple Assets. Occupation Time Derivatives. Numerical Methods. Appendix: Proofs. Bibliography. Index.
Descriere
Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and extends the analysis to American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options. It also reviews numerical methods for option pricing and compares their relative performance. Ideal for students and researchers in quantitative finance, this material is accessible to those with a background in stochastic processes or derivative securities.