Option Pricing In Incomplete Markets

Author : Yoshio Miyahara
Publisher : World Scientific
Page : 200 pages
File Size : 55,9 Mb
Release : 2012
Category : Electronic books
ISBN : 9781848163485

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Option Pricing in Incomplete Markets by Yoshio Miyahara Pdf

This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem

Author : Ronald C. Heynen
Publisher : Unknown
Page : 228 pages
File Size : 55,6 Mb
Release : 1995
Category : Business & Economics
ISBN : IND:30000057288973

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Essays on Derivatives Pricing Theory by Ronald C. Heynen Pdf

Author : John C. Cox,Mark Rubinstein
Publisher : Prentice Hall
Page : 518 pages
File Size : 50,5 Mb
Release : 1985
Category : Business & Economics
ISBN : UOM:39015036278094

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Options Markets by John C. Cox,Mark Rubinstein Pdf

Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.

Author : John Howland Cochrane,Jesús Saá-Requejo
Publisher : Unknown
Page : 84 pages
File Size : 53,5 Mb
Release : 1996
Category : Arbitrage
ISBN : IND:30000113539542

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Beyond Arbitrage by John Howland Cochrane,Jesús Saá-Requejo Pdf

It is often useful to price assets and other random payoffs by reference to other observed prices rather than construct full-fledged economic asset pricing models. This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive usefully tight bounds on asset prices in this situation. The bounds basically rule out high Sharpe ratios - `good deals' - as well as arbitrage opportunities. We present the method of calculation, we extend it to a multiperiod context by finding a recursive solution, and we apply it to option pricing examples including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree rate.

Author : Douglas T. Breeden
Publisher : Unknown
Page : 54 pages
File Size : 40,6 Mb
Release : 1983
Category : Commodity futures
ISBN : PSU:000010729953

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Futures Markets and Commodity Options by Douglas T. Breeden Pdf

Author : Nassim Nicholas Taleb
Publisher : John Wiley & Sons
Page : 536 pages
File Size : 43,9 Mb
Release : 1997-01-14
Category : Business & Economics
ISBN : 0471152803

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Dynamic Hedging by Nassim Nicholas Taleb Pdf

Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

Author : Stefan Rostek
Publisher : Springer
Page : 137 pages
File Size : 41,7 Mb
Release : 2009-08-29
Category : Business & Economics
ISBN : 3642003702

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Option Pricing in Fractional Brownian Markets by Stefan Rostek Pdf

Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of ?nancial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional Brownian motion is not a semimartingale and therefore “no arbitrage pricing” cannot be applied. While this is consensus, the consequences are not as clear. The orthodox interpretation is simply that fractional Brownian motion is an inadequate candidate for a price process. However, as shown by Cheridito (2003) any theoretical arbitrage opportunities disappear by assuming that market p- ticipants cannot react instantaneously. This is the point of departure of Rostek’s dissertation. He contributes to this research in several respects: (i) He delivers a thorough introduction to fr- tional integration calculus and uses the binomial approximation of fractional Brownianmotion to give the reader a ?rst idea of this special market setting.

Author : Angelika Esser
Publisher : Springer
Page : 122 pages
File Size : 55,8 Mb
Release : 2011-09-08
Category : Business & Economics
ISBN : 3642170668

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Pricing in (In)Complete Markets by Angelika Esser Pdf

In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor.

Author : Stylianos Perrakis
Publisher : Springer
Page : 277 pages
File Size : 41,5 Mb
Release : 2019-05-03
Category : Business & Economics
ISBN : 9783030115906

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Stochastic Dominance Option Pricing by Stylianos Perrakis Pdf

This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.

Author : Dennis Yang
Publisher : Atmif
Page : 308 pages
File Size : 53,5 Mb
Release : 2006-07-01
Category : Business & Economics
ISBN : 0978578708

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Quantitative Strategies for Derivatives Trading by Dennis Yang Pdf

Yang provides a solid foundation to address the question of how to trade derivatives. He offers a systematic way of determining the optimal trading size under a given market price.

Author : Menachem Brenner
Publisher : Free Press
Page : 264 pages
File Size : 45,6 Mb
Release : 1983
Category : Business & Economics
ISBN : UCSC:32106006810417

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Option Pricing by Menachem Brenner Pdf

Author : Xu Meng
Publisher : Unknown
Page : 190 pages
File Size : 46,8 Mb
Release : 2005
Category : Electronic
ISBN : UOM:39015062413094

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Large Agent and Incomplete Markets by Xu Meng Pdf

Author : Michael Magill,Martine Quinzii
Publisher : MIT Press
Page : 566 pages
File Size : 49,6 Mb
Release : 2002
Category : Business & Economics
ISBN : 0262632543

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Theory of Incomplete Markets by Michael Magill,Martine Quinzii Pdf

Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.

Author : Pablo Koch-Medina,Cosimo Munari
Publisher : Springer Nature
Page : 448 pages
File Size : 43,5 Mb
Release : 2020-07-16
Category : Mathematics
ISBN : 9783030397241

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Market-Consistent Prices by Pablo Koch-Medina,Cosimo Munari Pdf

Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.

Author : Jens Carsten Jackwerth
Publisher : Unknown
Page : 128 pages
File Size : 52,6 Mb
Release : 2008
Category : Electronic
ISBN : OCLC:950702251

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Option-Implied Risk-Neutral Distributions and Risk Aversion by Jens Carsten Jackwerth Pdf