On efficient binomial option price approximations:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1998
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 111 S. graph. Darst. |
Internformat
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| 100 | 1 | |a Leisen, Dietmar P. J. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a On efficient binomial option price approximations |c von Dietmar P. J. Leisen |
| 264 | 1 | |c 1998 | |
| 300 | |a 111 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Bonn, Univ., Diss., 1998 | ||
| 650 | 0 | 7 | |a Optionspreistheorie |0 (DE-588)4135346-8 |2 gnd |9 rswk-swf |
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| 650 | 0 | 7 | |a Binomialverteilung |0 (DE-588)4145587-3 |2 gnd |9 rswk-swf |
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| 689 | 1 | 2 | |a Asymptotische Entwicklung |0 (DE-588)4112609-9 |D s |
| 689 | 1 | |5 DE-604 | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
1 Introduction 3
2 The Stochastic Finance Economy 9
2.1 Equilibrium 11
2.2 The No Arbitrage Principle 14
2.3 No Arbitrage Valuation in the Complete Market 16
2.4 No Arbitrage Valuation in the L. .omplete Market 21
3 The Continuous Stochastic Finance Economy 29
3.1 The Limit Model 29
3.2 No Arbitrage Valuation in Complete and Incomplete Markets . . . 31
3.3 Binomial Models as Approximations 36
4 The Random Time Binomial Model 41
4.1 Randomization of the Binomial Model 41
4.2 Valuation 45
4.3 Incorporating Extreme Jumps 49
5 A Worst Case Analysis S3
5.1 European style Call and Put Options 55
5.2 The American style Put Option 59
6 Efficiency Improvements 61
6.1 Decreasing Errors Properly 61
6.2 Smoothing European style Call and Put Options 64
6.3 Smoothing the American stylo Put Option 69
I
Contents
Appendix 79
A Proofs of Chapter 4 81
» ir.*..
B Proofs of Section 5.1 _ ...... 85
C Proofs of Section 5.2 93
Bibliography 103
2
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| any_adam_object | 1 |
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| id | DE-604.BV012321869 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:25:32Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008353718 |
| oclc_num | 614290754 |
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| physical | 111 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| record_format | marc |
| spelling | Leisen, Dietmar P. J. Verfasser aut On efficient binomial option price approximations von Dietmar P. J. Leisen 1998 111 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 1998 Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf Asymptotische Entwicklung (DE-588)4112609-9 gnd rswk-swf Binomialverteilung (DE-588)4145587-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreis (DE-588)4115453-8 s Binomialverteilung (DE-588)4145587-3 s DE-604 Optionspreistheorie (DE-588)4135346-8 s Asymptotische Entwicklung (DE-588)4112609-9 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008353718&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Leisen, Dietmar P. J. On efficient binomial option price approximations Optionspreistheorie (DE-588)4135346-8 gnd Optionspreis (DE-588)4115453-8 gnd Asymptotische Entwicklung (DE-588)4112609-9 gnd Binomialverteilung (DE-588)4145587-3 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4115453-8 (DE-588)4112609-9 (DE-588)4145587-3 (DE-588)4113937-9 |
| title | On efficient binomial option price approximations |
| title_auth | On efficient binomial option price approximations |
| title_exact_search | On efficient binomial option price approximations |
| title_full | On efficient binomial option price approximations von Dietmar P. J. Leisen |
| title_fullStr | On efficient binomial option price approximations von Dietmar P. J. Leisen |
| title_full_unstemmed | On efficient binomial option price approximations von Dietmar P. J. Leisen |
| title_short | On efficient binomial option price approximations |
| title_sort | on efficient binomial option price approximations |
| topic | Optionspreistheorie (DE-588)4135346-8 gnd Optionspreis (DE-588)4115453-8 gnd Asymptotische Entwicklung (DE-588)4112609-9 gnd Binomialverteilung (DE-588)4145587-3 gnd |
| topic_facet | Optionspreistheorie Optionspreis Asymptotische Entwicklung Binomialverteilung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008353718&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT leisendietmarpj onefficientbinomialoptionpriceapproximations |