Option theory:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ [u.a.]
Wiley
2003
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XV, 371 S. graph. Darst. |
| ISBN: | 0471492892 |
Internformat
MARC
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| 245 | 1 | 0 | |a Option theory |c Peter James |
| 264 | 1 | |a Hoboken, NJ [u.a.] |b Wiley |c 2003 | |
| 300 | |a XV, 371 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 490 | 0 | |a Wiley finance series | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Options (Finance) | |
| 650 | 0 | 7 | |a Optionspreistheorie |0 (DE-588)4135346-8 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents Preface xiii
PART 1 ELEMENTS OF OPTION THEORY 1
1 Fundamentals 3
1.1 Conventions 3
1.2 Arbitrage 7
1.3 Forward contracts 8
1.4 Futures contracts H
2 Option Basics I5
2.1 Payoffs 15
2.2 Option prices before maturity 16
2.3 American options 18
2.4 Put call parity for american options 20
2.5 Combinations of options 22
2.6 Combinations before maturity 26
3 Stock Price Distribution 29
3.1 Stock price movements 29
3.2 Properties of stock price distribution 30
3.3 Infinitesimal price movements 33
3.4 Ito s lemma 34
4 Principles of Option Pricing 35
4.1 Simple example 35
4.2 Continuous time analysis 38
4.3 Dynamic hedging 44
4.4 Examples of dynamic hedging 46
4.5 Greeks 48
Contents
5 The Black Scholes Model 51
5.1 Introduction 51
5.2 Derivation of model from expected values 51
5.3 Solutions of the Black Scholes equation 52
5.4 Greeks for the Black Scholes model 53
5.5 Adaptation to different markets 56
5.6 Options on forwards and futures 58
6 American Options 63
6.1 Black Scholes equation revisited 63
6.2 Barone Adesi and Whaley approximation 65
6.3 Perpetual puts 68
6.4 American options on futures and forwards 69
PART 2 NUMERICAL METHODS 73
7 The Binomial Model 75
7.1 Random walk and the binomial model 75
7.2 The binomial network 77
7.3 Applications 80
8 Numerical Solutions of the Black Scholes Equation 87
8.1 Finite difference approximations 87
8.2 Conditions for satisfactory solutions 89
8.3 Explicit finite difference method 91
8.4 Implicit finite difference methods 93
8.5 A worked example 97
8.6 Comparison of methods 100
9 Variable Volatility 105
9.1 Introduction 105
9.2 Local volatility and the Fokker Planck equation 109
9.3 Forward induction 113
9.4 Trinomial trees 115
9.5 Derman Kani implied trees 118
9.6 Volatility surfaces 123
10 Monte Carlo 125
10.1 Approaches to option pricing 125
10.2 Basic Monte Carlo method 127
10.3 Random numbers 130
10.4 Practical applications 133
10.5 Quasi random numbers 135
10.6 Examples 139
viii
Contents PART 3 APPLICATIONS: EXOTIC OPTIONS 143
11 Simple Exotics 145
11.1 Forward start options 145
11.2 Choosers 147
11.3 Shout options 148
11.4 Binary (digital) options 149
11.5 Power options 151
12 Two Asset Options 153
12.1 Exchange options (Margrabe) 153
12.2 Maximum of two assets 155
12.3 Maximum of three assets 156
12.4 Rainbow options 158
12.5 Black Scholes equation for two assets 158
12.6 Binomial model for two asset options 160
13 Currency Translated Options 163
13.1 Introduction 163
13.2 Domestic currency strike (compo) 163
13.3 Foreign currency strike: fixed exchange rate (quanta) 165
13.4 Some practical considerations 167
14 Options on One Asset at Two Points in Time 169
14.1 Options on options (compound options) 169
14.2 Complex choosers 173
14.3 Extendible options 173
15 Barriers: Simple European Options 177
15.1 Single barrier calls and puts 177
15.2 General expressions for single barrier options 180
15.3 Solutions of the Black Scholes equation 181
15.4 Transition probabilities and rebates 182
15.5 Binary (digital) options with barriers 183
15.6 Common applications 184
15.7 Greeks 186
15.8 Static hedging 187
16 Barriers: Advanced Options 189
16.1 Two barrier options 189
16.2 Outside barrier options 190
16.3 Partial barrier options 192
16.4 Lookback options 193
16.5 Barrier options and trees 195
ix
Contents
17 Asian Options 201
17.1 Introduction 201
17.2 Geometric average price options 203
17.3 Geometric average strike options 206
17.4 Arithmetic average options: lognormal solutions 206
17.5 Arithmetic average options: Edgeworth expansion 209
17.6 Arithmetic average options: geometric conditioning 211
17.7 Comparison of methods 215
18 Passport Options 217
18.1 Option on an investment strategy (trading option) 217
18.2 Option on an optimal investment strategy (passport option) 220
18.3 Pricing a passport option 222
PART 4 STOCHASTIC THEORY 225
19 Arbitrage 227
19.1 Simplest model 227
19.2 The arbitrage theorem 229
19.3 Arbitrage in the simple model 230
20 Discrete Time Models 233
20.1 Essential jargon 233
20.2 Expectations 234
20.3 Conditional expectations applied to the one step model 235
20.4 Multistep model 237
20.5 Portfolios 238
20.6 First approach to continuous time 240
21 Brownian Motion 243
21.1 Basic properties 243
21.2 First and second variation of analytical functions 245
21.3 First and second variation of Brownian motion 246
22 Transition to Continuous Time 249
22.1 Towards a new calculus 249
22.2 Ito integrals 252
22.3 Discrete model extended to continuous time 255
23 Stochastic Calculus 259
23.1 Introduction 259
23.2 Ito s transformation formula (Ito s lemma) 260
23.3 Stochastic integration 261
23.4 Stochastic differential equations 262
23.5 Partial differential equations 265
23.6 Local time 266
x
Contents 23.7 Results for two dimensions 269
23.8 Stochastic control 271
24 Equivalent Measures 275
24.1 Change of measure in discrete time 275
24.2 Change of measure in continuous time: Girsanov s theorem 277
24.3 Black Scholes analysis 280
25 Axiomatic Option Theory 283
25.1 Classical vs. axiomatic option theory 283
25.2 American options 284
25.3 The stop go option paradox 287
25.4 Barrier options 290
25.5 Foreign currencies 293
25.6 Passport options 297
Mathematical Appendix 299
A. 1 Distributions and integrals 299
A.2 Random walk 309
A.3 The Kolmogorov equations 314
A.4 Partial differential equations 318
A.5 Fourier methods for solving the heat equation 322
A.6 Specific solutions of the heat equation (Fourier methods) 325
A.7 Green s functions 329
A.8 Fokker Planck equations with absorbing barriers 336
A.9 Numerical solutions of the heat equation 344
A. 10 Solution of finite difference equations by LU decomposition 347
A. 11 Cubic spline 349
A. 12 Algebraic results 351
A. 13 Moments of the arithmetic mean 353
A.14 Edgeworth expansions 356
Bibliography and References 361
Commentary 361
Books 363
Papers 364
Index 367
xi
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| id | DE-604.BV014893458 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:08:30Z |
| institution | BVB |
| isbn | 0471492892 |
| language | English |
| lccn | 2002191096 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010070008 |
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| physical | XV, 371 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | James, Peter Verfasser aut Option theory Peter James Hoboken, NJ [u.a.] Wiley 2003 XV, 371 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes bibliographical references and index Options (Finance) Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 s DE-604 http://www.loc.gov/catdir/description/wiley037/2002191096.html Publisher description http://www.loc.gov/catdir/toc/wiley031/2002191096.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010070008&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | James, Peter Option theory Options (Finance) Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4135346-8 |
| title | Option theory |
| title_auth | Option theory |
| title_exact_search | Option theory |
| title_full | Option theory Peter James |
| title_fullStr | Option theory Peter James |
| title_full_unstemmed | Option theory Peter James |
| title_short | Option theory |
| title_sort | option theory |
| topic | Options (Finance) Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Options (Finance) Optionspreistheorie |
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