American Option Valuation and Computation
A Comparative Study
(Sprache: Englisch)
The pricing of American options has been one of the most popular research areas in quantitative finance. Finding solutions to the American option valuation problem is a difficult task compared to its European counterpart because of the added feature of...
Leider schon ausverkauft
versandkostenfrei
Buch (Kartoniert)
70.00 €
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenlose Rücksendung
- Ratenzahlung möglich
Produktdetails
Produktinformationen zu „American Option Valuation and Computation “
Klappentext zu „American Option Valuation and Computation “
The pricing of American options has been one of the most popular research areas in quantitative finance. Finding solutions to the American option valuation problem is a difficult task compared to its European counterpart because of the added feature of early exercise. The American option valuation is commonly known as a free boundary value problem.This book features the methodology of option pricing from the derivation of the standard European option formula and then explores the American option pricing techniques introduced by researchers and academics. The methods range from semi-analytical, approximation and numerical approaches all seeking to improve accuracy and efficiency.A new type of numerical method is also introduced to price American options in this book. The critical exercise boundary which is a priori required to be solved for some of the valuation methods is efficiently approximated using cubic splines. The application of cubic splines reduces computationaltime without sacrificing accuracy. The results of this new method is compared against other pricing methods.
Autoren-Porträt von Karl Rodolfo
Rodolfo, KarlKarl Rodolfo was awarded his PhD in 2007 from the University of Sydney.While completing his PhD between 2000 and 2006, Karl worked as a Derivatives Trader for stockbroking and proprietary firms developing various derivative risk management tools, pricing models and involved in derivative structured products.
Bibliographische Angaben
- Autor: Karl Rodolfo
- 2008, Maße: 15 x 22 cm, Kartoniert (TB), Englisch
- Verlag: VDM Verlag Dr. Müller e.K.
- ISBN-10: 3639012143
- ISBN-13: 9783639012149
Sprache:
Englisch
Kommentar zu "American Option Valuation and Computation"
Schreiben Sie einen Kommentar zu "American Option Valuation and Computation".
Kommentar verfassen