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  1. Exotic option pricing and advanced Lévy models
    Published: c2005
    Publisher:  John Wiley, Chichester, England

    Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of... more

    Location:
    Hochschulbibliothek Friedensau
    Signature:
    Online-Ressource
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    Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 0470016841
    Subjects: Options (Finance); Lévy processes
    Scope: Online-Ressource (xxii, 320 p), ill, 26 cm
    Notes:

    Includes bibliographical references and index

    Electronic reproduction; Available via World Wide Web

    Exotic Option Pricing and Advanced L´evy Models; Contents; Contributors; Preface; About the Editors; About the Contributors; 1 L´evy Processes in Finance Distinguished by their Coarse and Fine Path Properties; 1.1 Introduction; 1.2 L´evy processes; 1.3 Examples of L´evy processes in finance; 1.3.1 Compound Poisson processes and jump-diffusions; 1.3.2 Spectrally one-sided processes; 1.3.3 Meixner processes; 1.3.4 Generalized tempered stable processes and subclasses; 1.3.5 Generalized hyperbolic processes and subclasses; 1.4 Path properties; 1.4.1 Path variation; 1.4.2 Hitting points

    1.4.3 Creeping1.4.4 Regularity of the half line; 1.5 Examples revisited; 1.5.1 Compound Poisson processes and jump-diffusions; 1.5.2 Spectrally negative processes; 1.5.3 Meixner process; 1.5.4 Generalized tempered stable process; 1.5.5 Generalized hyperbolic process; 1.6 Conclusions; References; 2 Simulation Methods with L´evy Processes; 2.1 Introduction; 2.2 Modelling price and rate movements; 2.2.1 Modelling with L´evy processes; 2.2.2 Lattice methods; 2.2.3 Simulation methods; 2.3 A basis for a numerical approach; 2.3.1 The subordinator approach to simulation

    2.3.2 Applying the subordinator approach2.4 Constructing bridges for L´evy processes; 2.4.1 Stratified sampling and bridge methods; 2.4.2 Bridge sampling and the subordinator representation; 2.5 Valuing discretely reset path-dependent options; 2.6 Valuing continuously reset path-dependent options; 2.6.1 Options on extreme values and simulation bias; 2.6.2 Bias correction for L´evy processes; 2.6.3 Variation: exceedence probabilities; 2.6.4 Application of the bias correction algorithm; 2.7 Conclusions; References; 3 Risks in Returns: A Pure Jump Perspective; 3.1 Introduction

    3.2 CGMY model details3.3 Estimation details; 3.3.1 Statistical estimation; 3.3.2 Risk neutral estimation; 3.3.3 Gap risk expectation and price; 3.4 Estimation results; 3.4.1 Statistical estimation results; 3.4.2 Risk neutral estimation results; 3.4.3 Results on gap risk expectation and price; 3.5 Conclusions; References; 4 Model Risk for Exotic and Moment Derivatives; 4.1 Introduction; 4.2 The models; 4.2.1 The Heston stochastic volatility model; 4.2.2 The Heston stochastic volatility model with jumps; 4.2.3 The Barndorff-Nielsen-Shephard model; 4.2.4 L´evy models with stochastic time

    4.3 Calibration4.4 Simulation; 4.4.1 NIG L´evy process; 4.4.2 VG L´evy process; 4.4.3 CIR stochastic clock; 4.4.4 Gamma-OU stochastic clock; 4.4.5 Path generation for time-changed L´evy process; 4.5 Pricing of exotic options; 4.5.1 Exotic options; 4.5.2 Exotic option prices; 4.6 Pricing of moment derivatives; 4.6.1 Moment swaps; 4.6.2 Moment options; 4.6.3 Hedging moment swaps; 4.6.4 Pricing of moments swaps; 4.6.5 Pricing of moments options; 4.7 Conclusions; References; 5 Symmetries and Pricing of Exotic Options in L´evy Models; 5.1 Introduction; 5.2 Model and assumptions

    5.3 General description of the method
  2. Demand-based option pricing
    Author: Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M.
    Published: 2005
    Publisher:  National Bureau of Economic Research, Cambridge, Mass.

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (11843)
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    Location:
    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    Signature:
    82/766 B-11843
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 11843
    Subjects: Optionsgeschäft; Hedging; Finanzmarkt; Optionspreistheorie; Nachfrage; USA; Options (Finance)
    Scope: 48 S, graph. Darst
    Notes:

    Literaturverz. S. 46 - 48

    Internetausg.: papers.nber.org/papers/w11843.pdf - lizenzpflichtig
  3. Can standard preferences explain the prices of out of the money S&P 500 put options
    Author: Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S.
    Published: 2005
    Publisher:  National Bureau of Economic Research, Cambridge, Mass.

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (11861)
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    Signature:
    82/766 B-11861
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 11861
    Subjects: Optionsgeschäft; Volatilität; Kapitaleinkommen; Präferenztheorie; Bayes-Statistik; Ökonometrisches Modell; Options (Finance)
    Scope: 41 S., graph. Darst.
    Notes:

    Literaturverz. S. 35 - 41

    Internetausg.: papers.nber.org/papers/w11861.pdf - lizenzpflichtig
  4. Opcje rzeczywiste w finansowej ocenie efektywności inwestycji
    Author: Mizerka, Jacek
    Published: 2005
    Publisher:  Wydawn. Akad. Ekonomicznej w Poznaniu, Poznań

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    B 342339
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    Content information
    Source: Union catalogues
    Language: Polish
    Media type: Book
    Format: Print
    ISBN: 8374171111
    RVK Categories: QP 720
    Series: Prace habilitacyjne / Akademia Ekonimiczna w Poznaniu ; 20
    Subjects: Investitionsrechnung; Realoptionsansatz; Options (Finance); Investments
    Scope: 245 S, graph. Darst