Artículos relacionados a Options Under Transaction Costs

Options Under Transaction Costs - Tapa blanda

Roux, Alet

 
9783836492393: Options Under Transaction Costs
Tapa blanda
ISBN 10: 3836492393 ISBN 13: 9783836492393
Editorial: VDM Verlag Dr. Mueller e.K., 2008

Sinopsis

This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in financial markets with proportional transaction costs on trading in shares, modeled as bid-ask spreads, and different interest rates for borrowing and lending of cash. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not allow traders to make profit with no risk, and a super-hedging strategy allows the seller and buyer to remain in a solvent position after respectively delivering and receiving the option payoff. Efficient algo­rithms are presented for computing the bid and ask prices of European and American options; these prices serve as bounds on the fair prices. This unifies all existing algorithms for the calculation of such prices. As a by-product, a straightforward iterative method is found for determining the optimal super-hedging strategies (and stopping times) for both the buyer and seller of an option, and also optimal stopping strategies in the case of American options.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in financial markets with proportional transaction costs on trading in shares, modeled as bid-ask spreads, and different interest rates for borrowing and lending of cash. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not allow traders to make profit with no risk, and a super-hedging strategy allows the seller and buyer to remain in a solvent position after respectively delivering and receiving the option payoff. Efficient algo­rithms are presented for computing the bid and ask prices of European and American options; these prices serve as bounds on the fair prices. This unifies all existing algorithms for the calculation of such prices. As a by-product, a straightforward iterative method is found for determining the optimal super-hedging strategies (and stopping times) for both the buyer and seller of an option, and also optimal stopping strategies in the case of American options.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
VDM Verlag Dr. Mueller e.K.
Año de publicación
2008
Idioma
Inglés
ISBN 10 
3836492393
ISBN 13 
9783836492393
Encuadernación
Tapa blanda
Número de páginas
156
Contacto del fabricante
no disponible
Persona responsable
no disponible