Mohlo by sa vám tiež páčiť

Viac informácií o knihe Pricing of exotic options under Kou model by using Laplace transform

• Parametre knihy
• Anotácia kniha
• Obľúbené z iného súdka

Nákupom získate 130 bodov

Anotácia knihy

Nowadays the knowledge about pricing of ordinary derivatives is generally used and investors become interested in more complex products such as the exotic options. For people dealing with options in the market it is important to be able to price these specific derivatives. In this book, we focus on the pricing and modeling of such derivative products. So far, the Black-Scholes model has a huge influence on the way that traders price and hedge options. Despite the successes of Black-Scholes model, it has some shortcomings, emerged from many empirical investigations. Many models are produced to modify Black-Scholes model. Our objective was to consider the Kou model, to use the Laplace transform and it's Euler inversion algorithm to price plain vanilla and exotic options. We applied the research results to valuation of options in the real market. We wrote our own program in the software for statistical computing R and presented results on the example of the NASDAQ OMX Stocholm Market, considering the two-asset correlation options. We can assert that the observable option pricing method can be implemented to the real market and it will be useful for the market participants.

Parametre knihy

• Celý názov: Pricing of exotic options under Kou model by using Laplace transform
• Podnázov: Pricing of exotic options
• Autor: Gayk Dzharayan, Elena Voronova
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 72
• EAN: 9783846533796
• ID: 06921821
• Nakladateľ: LAP Lambert Academic Publishing
• Hmotnosť: 125 g
• Rozmery: 220 × 150 × 4 mm
• Rok vydania: 2011

Obľúbené z iného súdka

---

---

---