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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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
2006, 2006
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| Edition: | 1st ed. 2006 |
| Series: | Lecture Notes in Economics and Mathematical Systems
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| 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