An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation 9 pot

... texts (Clewlow and Strickland, 199 8; Kwok, 199 8; Wilmott, 199 8; Wilmott et al., 199 5; Seydel, 2002) are good sources for more details about the application of finite differences to option valuation. We ... An alternative that is better in the case where the volatility is very small is upwind differencing; see (Iserles, 199 6; Mitchell and Griffiths, 198 0; Morton and Mayers, 19...

Ngày tải lên: 20/06/2014, 18:20

... G. and E. J. Stapleton ( 199 8) Fast accurate binomial pricing of options. Finance and Stochastics, 2:3–17. Rogers, L. C. G. and O. Zane ( 199 9) Saddle-point approximations to option prices. Annals ... distribution, 22, 24, 28 up -and- in call, 190 , 223 up -and- in put, 190 up -and- out call, 190 , 194 , 195 , 197 up -and- out put, 190 variance, 24, 142 variance reduction, 143...

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... 89 9.4 Large-scale test 92 9. 5 Long-Term Capital Management 93 9. 6 Notes 94 9. 7 Program of Chapter 9 and walkthrough 96 10 The Greeks 99 10.1 Motivation 99 10.2 The Greeks 99 10.3 Interpreting the ... The MathWorks, Inc. AN INTRODUCTION TO FINANCIAL OPTION VALUATION Mathematics, Stochastics and Computation This is a lively textbook providing a solid in...

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... rand and randn to generate U(0, 1) and N(0, 1) samples, respectively. To make the experiments reproducible, we set the random number generator seed to 100; that is, we used rand(‘state’,100) and ... pseudo-random numbers from a U(0, 1) and an N(0, 1) generator U(0, 1) N(0, 1) 0. 392 9 0 .90 85 0.6 398 −2.2207 0.7245 −0.2 391 0. 695 3 0.0687 0 .90 58 −2.0202 0 .94 29 −0.3641...

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... movement The book (Lo and MacKinlay, 199 9) is a good source of practical information for stock market data analysis. Many exchanges have informative websites, including the American Stock Exchange: www.amex.com/, ... way to compute a quantile–quantile plot, as seen in Figures 4.4, 4.6 and 5.3. It is listed in Figure 5.4. We use MATLAB’s N(0, 1) pseudo-random number generator, randn. Th...

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... implementation issues. An alternative is to take a general, parametrized class of random variables and fit the parameters to stock market data, see (Rogers and Zane, 199 9), for example. A completely ... different approach is to abandon any attempt to understand the processes that drive asset prices (in particular to pay no heed to the efficient mar- kethypothesis) and inste...

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... problem and it is marvelously intuitive. MARK P. KRITZMAN (Kritzman, 2000) To put it simply, if there is an arbitrage price, any other price is too dangerous to quote. MARTIN BAXTER AND ANDREW ... 2001; Karatzas and Shreve, 199 8; Nielsen, 199 9) cover this material in depth, while perhaps the most accessible introduction is (Baxter and Rennie, 199 6). Chapter 6 of (Kritzman,...

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... a and variance var(X) = b 2 are not known. Suppose • we are interested in computing an approximation to a (and possibly b), and • we are able to take independent samples of X using a pseudo-random ... highly relevant is (Hammersley and Handscombe, 196 4), whilst a short and very accessible modern perspective is given by (Madras, 2002). Monte Carlo, pseudo-random number generati...

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... depicted in Figures 16.2 and 16.3, have been widely reported. The references (Leisen and Reimer, 199 6; Rogers and Sta- pleton, 199 8) give explanations for the effect and propose fixes. Applying ... solution converges to the Black–Scholes value as M →∞, see (Kwok, 199 8), for example, and numerical analysis insights can also be used to explain the odd-even ripples. The book (Cle...

Ngày tải lên: 20/06/2014, 18:20

... arguments to those above can be used to obtain simple upper and lower bounds on the values C and P of European call and put options. To study the call option, consider two portfolios: π A : one call option ... than π B at time 0 then it would be possible to sell π A (that is, sell the call option and borrow the cash) and buy π B (that is, buy one put option and one...

Ngày tải lên: 21/06/2014, 07:20