An Introduction to Financial Option Valuation 9 doc

... 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 share). This...

Ngày tải lên: 21/06/2014, 07:20

... so is W(c 2 t)/c, for any constant c > 0; see, for example, (Brze ´ zniak and Zastawniak, 199 9, Exercise 6.28) and (Brze ´ zniak and Zastawniak, 199 9, Exercise 7.20), and their solutions, for ... 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...

Ngày tải lên: 21/06/2014, 07:20

... loss in 199 4) Baring’s Bank (bankrupted after $1.3 billion loss in 199 5) Sumitomo (lost $1.3 billion in 199 6) Government of Belgium ($1.2 billion loss in 199 7) National Westminster Bank (lost ... $143 million in 199 7) PHILIP MCBRIDE JOHNSON (Johnson, 199 9) 19. 8 Program of Chapter 19 and walkthrough 199 19. 7.  Write down a pseudo-code algorithm for Monte Carlo applied to a float...

Ngày tải lên: 21/06/2014, 07:20

... V2); end aM = mean(V); bM = std(V); conf = [aM - 1 .96 *bM/sqrt(M), aM + 1 .96 *bM/sqrt(M)] aManti = mean(Vanti); bManti = std(Vanti); confanti = [aManti - 1 .96 *bManti/sqrt(M), aManti + 1 .96 *bManti/sqrt(M)] Fig. ... widths 10 2 [1.8841, 2.0752] [1 .98 75, 2.0012] 14.0 10 3 [1 .95 38, 2.0087] [1 .99 76, 2.0017] 13.4 10 4 [1 .98 90, 2.0062] [1 .99 97, 2.0010] 13.5 10 5 [1 .99 69, 2.0023] [1...

Ngày tải lên: 21/06/2014, 07:20

... (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, 199 4; Strik...

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 ... 59, 60, 66, 70, 118 London International Financial Futures and Options Exchange, 5, 135 London Stock Exchange, 50 Long-Term Capital Management, 93 94 lookback option, 191 – 192 , 196...

Ngày tải lên: 20/06/2014, 18:20

... 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 ... MathWorks, Inc. AN INTRODUCTION TO FINANCIAL OPTION VALUATION Mathematics, Stochastics and Computation This is a lively textbook providing a solid introduction...

Ngày tải lên: 20/06/2014, 18:20

... 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 0.6350 −0.0813 0.1500 −1 .97 97 0.4741 ... 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,...

Ngày tải lên: 20/06/2014, 18:20

... 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/, ... known to investors, and hence any change in the price is due to new information. We may build this into our model by adding a ran- dom ‘fluctuation’ increment to the intere...

Ngày tải lên: 20/06/2014, 18:20

... 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 ... markets and the behavior of financial instruments traded in those markets. The book (Bass, 199 9) gives the story behind the foundation and early years of the company and has many insight...

Ngày tải lên: 20/06/2014, 18:20