Market-conform valuation of options
著者
書誌事項
Market-conform valuation of options
(Lecture notes in economics and mathematical systems, 571)
Springer, c2006
大学図書館所蔵 件 / 全39件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Summary in German
Originally presented as the author's thesis (doctoral)--Johann Wolfgang Goethe-University, 2005
Includes bibliographical references
内容説明・目次
内容説明
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, plain-vanilla or exotic options with European or American-style exercise features. Market-conform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using no-arbitrage arguments. Sometimes in the literature other expressions are used for 'market-conform' valuation - 'smile-consistent' valuation or 'fair-market' valuation - that describe the same basic idea. The seminal work by Black and Scholes (1973) (BS) and Merton (1973) mark a breakthrough in the problem of hedging and pricing contingent claims based on no-arbitrage arguments. Harrison and Kreps (1979) provide a firm mathematical foundation for the Black-Scholes- Merton analysis. They show that the absence of arbitrage is equivalent to the existence of an equivalent martingale measure. Under this mea sure the normalized security price process forms a martingale and so securities can be valued by taking expectations. If the securities market is complete, then the equivalent martingale measure and hence the price of any security are unique.
目次
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.
「Nielsen BookData」 より