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An introduction to exotic option pricing

An introduction to exotic option pricing (5회 대출)

자료유형
단행본
개인저자
Buchen, Peter.
서명 / 저자사항
An introduction to exotic option pricing / Peter Buchen.
발행사항
Boca Raton, FL :   CRC Press,   c2012.  
형태사항
xvii, 278 p. : ill. ; 25 cm.
총서사항
Chapman & Hall/CRC financial mathematics series
ISBN
9781420091007 (hardback) 142009100X (hardback)
요약
"In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author incorporates much of his own unpublished work, including ideas and techniques new to the general quantitative finance community.The first part of the text presents the necessary financial, mathematical, and statistical background, covering both standard and specialized topics. Using no-arbitrage concepts, the Black-Scholes model, and the fundamental theorem of asset pricing, the author develops such specialized methods as the principle of static replication, the Gaussian shift theorem, and the method of images. A key feature is the application of the Gaussian shift theorem and its multivariate extension to price exotic options without needing a single integration.The second part focuses on applications to exotic option pricing, including dual-expiry, multi-asset rainbow, barrier, lookback, and Asian options. Pushing Black-Scholes option pricing to its limits, the author introduces a powerful formula for pricing a class of multi-asset, multiperiod derivatives. He gives full details of the calculations involved in pricing all of the exotic options.Taking an applied mathematics approach, this book illustrates how to use straightforward techniques to price a wide range of exotic options within the Black-Scholes framework. These methods can even be used as control variates in a Monte Carlo simulation of a stochastic volatility model"--Provided by publisher.
내용주기
Financial preliminaries -- Mathematical preliminaries -- Gaussian random variables -- Simple exotic options -- Dual expiry options -- Two-asset rainbow options -- Barrier options -- Lookback options -- Asian options -- Exotic multi-options.
서지주기
Includes bibliographical references and index.
일반주제명
Options (Finance) -- Prices.
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020 ▼a 9781420091007 (hardback)
020 ▼a 142009100X (hardback)
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082 0 0 ▼a 332.64/53 ▼2 23
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090 ▼a 332.6453 ▼b B919i
100 1 ▼a Buchen, Peter.
245 1 3 ▼a An introduction to exotic option pricing / ▼c Peter Buchen.
260 ▼a Boca Raton, FL : ▼b CRC Press, ▼c c2012.
300 ▼a xvii, 278 p. : ▼b ill. ; ▼c 25 cm.
490 1 ▼a Chapman & Hall/CRC financial mathematics series
504 ▼a Includes bibliographical references and index.
505 0 0 ▼t Financial preliminaries -- ▼t Mathematical preliminaries -- ▼t Gaussian random variables -- ▼t Simple exotic options -- ▼t Dual expiry options -- ▼t Two-asset rainbow options -- ▼t Barrier options -- ▼t Lookback options -- ▼t Asian options -- ▼t Exotic multi-options.
520 ▼a "In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author incorporates much of his own unpublished work, including ideas and techniques new to the general quantitative finance community.The first part of the text presents the necessary financial, mathematical, and statistical background, covering both standard and specialized topics. Using no-arbitrage concepts, the Black-Scholes model, and the fundamental theorem of asset pricing, the author develops such specialized methods as the principle of static replication, the Gaussian shift theorem, and the method of images. A key feature is the application of the Gaussian shift theorem and its multivariate extension to price exotic options without needing a single integration.The second part focuses on applications to exotic option pricing, including dual-expiry, multi-asset rainbow, barrier, lookback, and Asian options. Pushing Black-Scholes option pricing to its limits, the author introduces a powerful formula for pricing a class of multi-asset, multiperiod derivatives. He gives full details of the calculations involved in pricing all of the exotic options.Taking an applied mathematics approach, this book illustrates how to use straightforward techniques to price a wide range of exotic options within the Black-Scholes framework. These methods can even be used as control variates in a Monte Carlo simulation of a stochastic volatility model"--Provided by publisher.
520 ▼a "Preface This book is a collection of a large amount of material developed from my teaching, research, and supervision of student projects and PhD theses. It also contains a significant quantity of original unpublished work. One of my main interests in Financial Mathematics was to seek elegant methods for pricing derivative securities. Although the literature on derivatives is vast, virtually none outside the academic journals, concentrates solely on pricing methods. Where it is considered, details are often glossed over, with comments like: "″″″ and and after a length integration, we arrive at the result", or "″″″ this partial differential equation can be solved to yield the answer". In my experience, many students, even the mathematically gifted ones, found the subject of pricing any but the simplest derivatives, somewhat unsatisfactory and often quite daunting. One aim of this book is to correct the impression that exotic option pricing is a subject only for the technophiles. My plan is to present it in a mathematically elegant and easily understood fashion. To this end: I show in this book how to price, in a Black-Scholes economy, the standard exotic options, and a host of non-standard ones as well, without generally performing a single integration, or formally solving a partial differential equation. How is this to be achieved? In a nutshell, the book devotes a lot of space to developing specialized methods based on no-arbitrage concepts, the Black- Scholes model and the Fundamental Theorem of Asset Pricing. These include the Principal of Static Replication, the Gaussian Shift Theorem and the Method of Images. The last of these, which has been borrowed from Theoretical Physics, is ideally suited to pricing barrier and lookback options"--Provided by publisher.
650 0 ▼a Options (Finance) ▼x Prices.
830 0 ▼a Chapman & Hall/CRC financial mathematics series.
945 ▼a KLPA

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6453 B919i 등록번호 111678254 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

TECHNICAL BACKGROUND
Financial Preliminaries
European Derivative Securities
Exotic Options
Binary Options
No-Arbitrage
Pricing Methods
The Black?Scholes PDE Method
Derivation of Black?Scholes PDE
Meaning of the Black?Scholes PDE
The Fundamental Theorem of Asset Pricing
The EMM Pricing Method
Black?Scholes and the FTAP
Effect of Dividends

Mathematical Preliminaries
Probability Spaces
Brownian Motion
Stochastic Des
Stochastic Integrals
Ito’s Lemma
Martingales
Feynman-Kac Formula
Girsanov’s Theorem
Time Varying Parameters
The Black?Scholes PDE
The BS Green’s Function
Log-Volutions

Gaussian Random Variables
Univariate Gaussian Random Variables
Gaussian Shift Theorem
Rescaled Gaussians
Gaussian Moments
Central Limit Theorem
Log-Normal Distribution
Bivariate Normal
Multivariate Gaussian Statistics
Multivariate Gaussian Shift Theorem
Multivariate Ito’s Lemma and BS-PDE
Linear Transformations of Gaussian RVs

APPLICATIONS TO EXOTIC OPTION PRICING
Simple Exotic Options
First-Order Binaries
BS-Prices for First-Order Asset and Bond Binaries
Parity Relation
European Calls and Puts
Gap and Q-Options
Capped Calls and Puts
Range Forward Contracts
Turbo Binary
The Log-Contract
Pay-at-Expiry and Money-Back Options
Corporate Bonds
Binomial Trees
Options on a Traded Account

Dual Expiry Options
Forward Start Calls and Puts
Second-Order Binaries
Second-Order Asset and Bond Binaries
Second-Order Q-Options
Compound Options
Chooser Options
Reset Options
Simple Cliquet Option

Two-Asset Rainbow Options
Two-Asset Binaries
The Exchange Option
Options on the Minimum/Maximum of Two Assets
Product and Quotient Options
ICIAM Option Competition
Executive Stock Option

Barrier Options
Introduction
Method of Images
Barrier Parity Relations
Equivalent Payoffs for Barrier Options
Call and Put Barrier Options
Barrier Option Rebates
Barrier Option Extensions
Binomial Model for Barrier Options
Partial Time Barrier Options
Double Barriers
Sequential Barrier Options
Compound Barrier Options
Outside-Barrier Options
Reflecting Barriers

Lookback Options
Introduction
Equivalent Payoffs for Lookback Options
The Generic Lookback Options m(x, y, t) and M(x, z, t)
The Standard Lookback Calls and Puts
Partial Price Lookback Options
Partial Time Lookback Options
Extreme Spread Options
Look-Barrier Options

Asian Options
Introduction
Pricing Framework
Geometric Mean Asian Options
FTAP Method for GM Asian Options
PDE Method for GM Asian Options
Discrete GM Asian Options

Exotic Multi-Options
Introduction
Matrix and Vector Notation
The M-Binary Payoff
Valuation of the M-Binary
Previous Results Revisited
Multi-Asset, One-Period Asset and Bond Binaries
Quality Options
Compound Exchange Option
Multi-Asset Barrier Options

References

Index

A Summary and Exercises appear at the end of each chapter.


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