Etrade Option Prices
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Market Expectations and Option Prices $224.86 This book is in Acceptable condition |
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Analysis of the Option Prices in Jump Diffusion Models. $115.71 We study the option pricing problem in jump diffusion models from both probabilistic and PDE perspectives. This dissertation consists of the following four parts: (i) We study the regularity properties of the value function of an optimal stopping problem for a process with Levy jumps. Assuming the diffusion component of the process is nondegenerate and a mild assumption on the singularity of the Levy measure, we show that the value function is smooth in the continuation region for problems with either finite or infinite variation jumps. Moreover, the smoothfit property is shown via the global regularity of the value function. (ii) We show that the optimal exercise boundary of the American put option for jump diffusions with compound Poisson jumps is continuously differentiable (except at the maturity). This differentiability result has been established by Yang et al. under the condition r >= q + lambda R+ (ez 1)nu(dz). We extend the result to the case where the condition fails via an unified approach that treats both cases simultaneously. We also show that the boundary is infinitely differentiable under a regularity assumption on the jump distribution. (iii), (iv) When the underlying asset price dynamics follows jump diffusions with compound Poisson jumps, we construct a sequence of functions that uniformly converge (on compact sets) to the American (Asian) option price exponentially fast. Each function in this sequence is the value function of a diffusion problem. This sequence gives us an efficient numerical algorithm to price options in jump diffusion models. We prove the convergence/stability of this numerical algorithm and apply it to price American and Asian options in Chapters IV and V respectively. Author: Xing, Hao Binding Type: Paperback Number of Pages: 200 Publication Date: 2011/09/07 Language: English Dimensions: 9.69 x 7.44 x 0.42 inches |
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Commodity Prices, Options and Futures Behaviour $154.53 An analysis of futures and spot price volatility of agricultural commodities including an assessment, from a social welfare perspective, of a Mexican GovernmentFuturesScheme (ASERCA futuresscheme) were conducted in this research project. The agricultural commodities under study were corn and wheat. For the volatility analysis an implication of the theory of storage and the Samuelson effect were tested using a restricted version of the BEKK model. The storage implication is that supplyanddemand fundamentals affect the price volatility of commodities whereas, for the Samuelson effect, spot prices are thought to be more volatile than futures prices. The same model estimates were then compared to option implied volatility and composite forecast models in order to find out which is the best model in terms of forecast accuracy. For the social welfare analysis a utility function and a non structural model (VAR) were used in order to quantify the overall gains for the Mexican economy of the ASERCA futures scheme. Author: Benavides, Guillermo Binding Type: Paperback Number of Pages: 308 Publication Date: 2010/05/21 Language: English Dimensions: 5.98 x 9.01 x 0.69 inches |
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Option Prices as Probabilities by Profeta, Cristophe; Roynette, Bernard; Yor, Marc Edition , 1 $28.99 The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has ever been made in this sense.The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes… They are developed in eight chapters, with complements, appendices and exercises. |
May 22nd, 2006 in
Etrade
