Financial calculus Introduction to Financial Option Valuation 5 doc
Financial calculus Introduction to Financial Option Valuation_2 pdf
... Daily Histogram 5 0 5 0 0 .5 1 Cumulative Density 5 0 5 −4 −2 0 2 4 Quantiles 5 0 5 0 0.1 0.2 0.3 0.4 IBM Weekly 5 0 5 0 0 .5 1 5 0 5 −4 −2 0 2 4 5 0 5 0 0.1 0.2 0.3 0.4 Rand. Num. Gen. 5 0 5 0 0 .5 1 5 ... merchandise, agrees to accept a penny less. ALEXANDER ELDER (Elder, 2002) 6 .5 Features of the asset model 57 0 0 .5 1 1 .5 2 2 .5 3 3 .5 4 0 0 .5...
Ngày tải lên: 21/06/2014, 09:20
Financial calculus Introduction to Financial Option Valuation_3 doc
... 0. 05, we find, to four decimal places, d 1 = 1.06 05, d 2 = 0.76 05, N (d 1 ) = 0. 855 5, N (d 2 ) = 0.77 65, N (−d 1 ) = 0.14 45, N (−d 2 ) = 0.22 35. Here, we used MATLAB’s erf function in order to ... t) corresponds to the value of a European call or put. 73 66 Asset price model: Part II 0 0.1 0.2 0.3 0.4 0 .5 0.6 0.7 0.8 0.9 1 0 0 .5 1 1 .5 2 2 .5 3 0 0 .5 1 1 .5 2 2 .5...
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Financial calculus Introduction to Financial Option Valuation_4 pptx
... 91 0 0 .5 1 1 .5 2 2 .5 3 3 .5 4 4 .5 5 0 1 2 3 Asset path E 0 0 .5 1 1 .5 2 2 .5 3 3 .5 4 4 .5 5 0 0 .5 1 Delta 0 0 .5 1 1 .5 2 2 .5 3 3 .5 4 4 .5 5 0 .5 1 1 .5 2 Cash 0 0 .5 1 1 .5 2 2 .5 3 3 .5 4 4 .5 5 1 1 .5 2 Portfolio Fig. ... hedging 0 0 .5 1 1 .5 2 2 .5 3 3 .5 4 4 .5 5 0 1 2 3 Asset path E 0 0 .5 1 1 .5 2 2 .5 3 3 .5 4 4 .5 5 0 0 .5 1 Delta 0 0 .5...
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Financial calculus Introduction to Financial Option Valuation_5 doc
... to obtain A = up − down S up − S down , (12 .5) 12.3 Risk neutrality 117 0 0.01 0.02 0.03 0.04 0. 05 0.06 0.07 0.08 0.09 0.1 1 .5 2 2 .5 3 3 .5 4 4 .5 µ Discounted expected payoff Black–Scholes value Fig. ... DEWYNNE (Wilmott et al., 19 95) Risk neutral valuation, which was developed by John Cox and Stephen Ross, has the dual virtues that it can be applied to practically any...
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Financial calculus Introduction to Financial Option Valuation_6 ppt
... volatility Exercise price Option price 51 25 4 75 52 25 4 05 53 25 340 54 25 280 1 2 55 25 226 56 25 179 1 2 57 25 139 58 25 1 05 5100 52 00 53 00 54 00 55 00 56 00 57 00 58 00 59 00 0.172 0.174 0.176 0.178 0.18 0.182 0.184 0.186 0.188 0.19 0.192 Exercise ... 0. 05) and trying [0, K], [K, 2K], [2K, 3K], Newton’s method takes the form σ n+1 = σ n − F(σ n ) F (σ n...
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Financial calculus Introduction to Financial Option Valuation_8 potx
... Asian call option has payoff at the expiry date T given by max S(T ) − 1 T T 0 S(τ )dτ, 0 . 18 .5 Optimal exercise boundary 177 0 50 100 150 200 250 1.7 95 1.8 1.8 05 1.81 1.8 15 1.82 M American ... a M ) 2 The result gives an approximate option price a M and an approximate 95% confi- dence interval ( 15. 5). For Asian options we could use the Riemann sum t N j=1 S j to ap...
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Financial calculus Introduction to Financial Option Valuation_9 potx
... summarize the potential advantage is: 2 15 212 Historical volatility 0 200 400 600 800 1000 1200 1400 1600 1800 2000 0 0. 05 0.1 0. 15 0.2 0. 25 0.3 0. 35 0.4 0. 45 0 .5 t Volatility Fig. 20.3. Figure produced ... σ is computed in order to value an option, then a widely quoted rule of thumb is to make the historical data time-frame Mt equal to that of the option: to value...
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Financial calculus Introduction to Financial Option Valuation_10 ppt
... 1.3 10 3 [0.22 85, 0.3333] [0.2238, 0.2936] 1 .5 10 4 [0.2443, 0.2764] [0.2370, 0. 258 0] 1 .5 10 5 [0.2 359 , 0.2 458 ] [0.2373, 0.2440] 1 .5 21.10 Program of Chapter 21 and walkthrough 2 25 21.9 Notes and ... widths 10 2 [0.8247, 1.2819] [0. 951 8, 1.6767] 0.6 10 3 [0.9713, 1. 157 4] [1.0166, 1.1244] 1.7 10 4 [0.9647, 1.0137] [0.99 45, 1.0243] 1.6 10 5 [0.9 953 , 1.01 15] [0.9 955 ,...
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An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation_13 pot
... 2 45 0 5 10 15 0 20 40 60 80 100 −1 .5 −1 −0 .5 0 0 .5 1 1 .5 x FTCS: ν = 0.63 t Fig. 23 .5. FTCS solution on the heat equation (23.2), (23.3) and (23.4) with initial and boundary conditions (23 .5) . Here N x = 14 and ... (24.7) The matrix–vector representation of FTCS in (23.9) remains valid if we re- define F = (1 − rk)I + 1 2 kσ 2 D 2 T 2 + 1 2 kr D 1 T 1 244 Finite difference met...
Ngày tải lên: 20/06/2014, 18:20
An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation_14 pot
... 260 Crank–Nicolson, 249– 252 , 257 –261, 2 65 for American option, 263 for Black–Scholes PDE, 257 –260 FTCS, 240–249, 252 , 257 –260, 2 65 instability, 243 local accuracy, 246–247, 249, 251 , 252 penalty method, ... 1 75, 182 liquidity, 94 log ratio, 48, 203, 210 lognormal distribution, 56 , 57 , 59 , 60, 66, 70, 118 London International Financial Futures and Options Exchange, 5, 1...
Ngày tải lên: 20/06/2014, 18:20