Titlebook: Derivative Security Pricing; Techniques, Methods Carl Chiarella,Xue-Zhong He,Christina Sklibosios N Book 2015 Springer-Verlag Berlin Heide

青少年

Pricing the American Featureom the conventional approach based on compound options and the free boundary value problem which can be solved by using either the Fourier transform technique or a simple approximation procedure. The framework developed is readily extended to other option pricing problems.

反叛者

Pricing Options Using Binomial Treeshe one-period binomial tree model and then extend to a multi-period binomial tree model. We then show that, by taking limits in an appropriate way, the binomial expression for the option price converges to the Black–Scholes option price and pricing equation. Alternatively, the continuous time model

Senescent

Brocas-Area

拖網(wǎng)

chuckle

Seungil Chung M.D., Ph.D.,Sanghoon ParkThis chapter applies the general pricing framework developed in Chap.?. to some standard one factor examples including stock options, currency options, futures options and a two factor model of exchange option.

粗魯?shù)娜?/a>

The Stock Option ProblemThis chapter outlines the paradigm problem of option pricing and motivates key concepts and techniques that we will develop in Part I when the risk-free rate is deterministic.

Lime石灰

Pricing Derivative Securities: A General ApproachThis chapter extends the hedging argument developed in Chap.?. and the martingale approach developed in Chap.?. by allowing derivative securities to depend on multiple sources of risks and multiple underlying factors, some are tradable and some are not tradable. It provides a general PDE and martingale approaches to pricing derivative securities.

jettison

Applying the General Pricing FrameworkThis chapter applies the general pricing framework developed in Chap.?. to some standard one factor examples including stock options, currency options, futures options and a two factor model of exchange option.

larder

Derivative Security Pricing978-3-662-45906-5Series ISSN 1566-0419 Series E-ISSN 2363-8370