Market-Conform Valuation of Options

• Main Author: Herwig, Tobias (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Series: Lecture Notes in Economics and Mathematical Systems, 571
• Subjects: Finance.; Economics, Mathematical.; Macroeconomics.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.; Quantitative Finance.

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,...

Table of Contents:

• 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.