Author: Saskai Folk
Publisher: PALGRAVE MACMILLAN
Keywords: conform
Number of Pages: 144
Published: 2004-01-01
List price: unknow
ISBN-10: 1876832681
ISBN-13: 9781876832681

Author: Tobias Herwig
Publisher: Springer
Keywords: economics, mathematical, systems, notes, lecture, conform, valuation, options, market
Number of Pages: 104
Published: 2006-02-27
List price: $59.95
ISBN-10: 3540308377
ISBN-13: 9783540308379

The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the