Market-Conform Valuation of Options
1. 1 The Area of Research In this thesis, 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,...
Κύριος συγγραφέας: | |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2006.
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Σειρά: | Lecture Notes in Economics and Mathematical Systems,
571 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.