Market-Conform Valuation of Options

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,...

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Bibliographic Details
Main Author: Herwig, Tobias
Format: eBook
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2006, 2006
Edition:1st ed. 2006
Series:Lecture Notes in Economics and Mathematical Systems
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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