Customized derivatives: a step-by-step guide to using exotic options, swaps, and other customized derivatives
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY [u.a.]
McGraw-Hill
1998
|
| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis |
| Physical Description: | XXX, 350 S. graph. Darst. |
| ISBN: | 0786305568 |
Staff View
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV023517838 | ||
| 003 | DE-604 | ||
| 005 | 20080104000000.0 | ||
| 007 | t | ||
| 008 | 980928s1998 xxud||| |||| 00||| eng d | ||
| 020 | |a 0786305568 |9 0-7863-0556-8 | ||
| 035 | |a (OCoLC)611156186 | ||
| 035 | |a (DE-599)BVBBV023517838 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-521 | ||
| 050 | 0 | |a HG6024.A3R38 1998 | |
| 082 | 0 | |a 332.64/5 21 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 100 | 1 | |a Ravindran, K. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Customized derivatives |b a step-by-step guide to using exotic options, swaps, and other customized derivatives |c K. Ravindran |
| 264 | 1 | |a New York, NY [u.a.] |b McGraw-Hill |c 1998 | |
| 300 | |a XXX, 350 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Exotic options (Finance) | |
| 856 | 4 | |u http://www.loc.gov/catdir/description/mh022/97009623.html |3 Publisher description | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016838274&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016838274 | ||
Record in the Search Index
| _version_ | 1804138157271154688 |
|---|---|
| adam_text | CONTENTS EXHIBITS xi
EXAMPLES xvii
METHODOLOGIES xxi
COMMONLY USED NOTATIONS xxiii
PREFACE xxvii
ACKNOWLEDGMENTS xxix
ABOUT THE AUTHOR xxx
Chapter 1
Setting The Stage 1
Introduction 1
Objectives of the Book 3
A Tour of the Book 4
Some Parting Thoughts 5
Chapter 2
Description and Uses of Vanilla Derivatives 7
Introduction 7
Vanilla Derivatives in the Four Asset Classes 8
The Futures Contract 9
Introduction 9
A Futures Contract Example 9
Characteristics of the Futures Contract 13
The Forward Contract 16
Introduction 16
A Forward Contract Example 16
Characteristics of the Forward Contract 19
The Vanilla Swap Contract 20
Introduction 20
Swap Contract Examples 21
a. Currency Swap Contracts
b. Interest Rate Swap Contracts
c. Equity Swap Contracts
d. Commodity Swap Contracts
Characteristics of the Swap Contracts 40
The Vanilla Option Contract 42
Introduction 42
vii
vili CONTENTS
Option Contract Examples 46
Characteristics of the Option Contracts 49
Option Contracts As Building Blocks 55
The New Vanilla Option Contract 57
Introduction 57
A Mid-Atlantic-Style Option Contract Example 58
Characteristics of the Mid-Atlantic-Style Option Contracts 60
Conclusion 64
Chapter 3
Description and Uses of Exotic Options 65
Introduction 65
The Building Blocks of Exotic Options 67
The Spread Option Contract 68
Introduction 68
A Spread Option Contract Example 69
Characteristics of Spread Option Contracts 70
Other Applications 79
The Average Option Contract 80
Introduction 80
An Average Option Contract Example 80
Characteristics of Average Option Contracts 83
Other Applications 94
The Basket Option Contract 94
Introduction 94
A Basket Option Contract Example 95
Characteristics of Basket Option Contracts 95
Other Applications 104
The Cash-or-Nothing Option Contract 105
Introduction 105
A Cash-or-Nothing Option Contract Example 106
Characteristics of Cash-or-Nothing Option Contracts 107
Other Applications 116
The Choice Option Contract 119
Introduction 119
A Choice Option Contract Example 119
Contents ix
Characteristics of Choice Option Contracts 123
Other Applications 126
The Compound Option Contract 129
Introduction 129
A Compound Option Contract Example 130
Characteristics of Compound Option Contracts 132
Other Applications 141
The Deferred Strike Option Contract 142
Introduction 142
A Deferred Strike Option Contract Example 142
Characteristics of Deferred Strike Option Contracts 144
Other Applications 148
The Lookback Option Contract 148
Introduction 148
A Lookback Option Contract Example 149
Characteristics of Lookback Option Contracts 151
Other Applications 160
The Nonlinear Payoff Option Contract 164
Introduction 164
A Nonlinear Payoff Option Contract Example 165
Characteristics of Nonlinear Payoff Option Contracts 168
Other Applications 172
The Product Option Contract 174
Introduction 174
A Product Option Contract Example 174
Characteristics of Product Option Contracts 176
Other Applications 192
The Sudden Birth/Death Option Contract 192
Introduction 192
A Barrier Option Contract Example 193
Characteristics of Barrier Option Contracts 195
Other Applications 201
Conclusion 202
Chapter 4
Intuitive Methods for Pricing Options 203
Introduction 203
Assumptions Underlying Asset Value Movements 204
x CONTENTS
Types of Valuation Techniques 207
The Binomial Method 209
Valuing Vanilla Options 212
Valuing Exotic Options 223
The Monte Carlo Method 290
Valuing European-Style Vanilla Options 292
Valuing Mid-Atlantic and American-Style Vanilla Options 301
Conclusion 337
APPENDIX 339
GLOSSARY 355
BIBLIOGRAPHY 409
INDEX 413
|
| adam_txt |
CONTENTS EXHIBITS xi
EXAMPLES xvii
METHODOLOGIES xxi
COMMONLY USED NOTATIONS xxiii
PREFACE xxvii
ACKNOWLEDGMENTS xxix
ABOUT THE AUTHOR xxx
Chapter 1
Setting The Stage 1
Introduction 1
Objectives of the Book 3
A Tour of the Book 4
Some Parting Thoughts 5
Chapter 2
Description and Uses of Vanilla Derivatives 7
Introduction 7
Vanilla Derivatives in the Four Asset Classes 8
The Futures Contract 9
Introduction 9
A Futures Contract Example 9
Characteristics of the Futures Contract 13
The Forward Contract 16
Introduction 16
A Forward Contract Example 16
Characteristics of the Forward Contract 19
The Vanilla Swap Contract 20
Introduction 20
Swap Contract Examples 21
a. Currency Swap Contracts
b. Interest Rate Swap Contracts
c. Equity Swap Contracts
d. Commodity Swap Contracts
Characteristics of the Swap Contracts 40
The Vanilla Option Contract 42
Introduction 42
vii
vili CONTENTS
Option Contract Examples 46
Characteristics of the Option Contracts 49
Option Contracts As Building Blocks 55
The New Vanilla Option Contract 57
Introduction 57
A Mid-Atlantic-Style Option Contract Example 58
Characteristics of the Mid-Atlantic-Style Option Contracts 60
Conclusion 64
Chapter 3
Description and Uses of Exotic Options 65
Introduction 65
The Building Blocks of Exotic Options 67
The Spread Option Contract 68
Introduction 68
A Spread Option Contract Example 69
Characteristics of Spread Option Contracts 70
Other Applications 79
The Average Option Contract 80
Introduction 80
An Average Option Contract Example 80
Characteristics of Average Option Contracts 83
Other Applications 94
The Basket Option Contract 94
Introduction 94
A Basket Option Contract Example 95
Characteristics of Basket Option Contracts 95
Other Applications 104
The Cash-or-Nothing Option Contract 105
Introduction 105
A Cash-or-Nothing Option Contract Example 106
Characteristics of Cash-or-Nothing Option Contracts 107
Other Applications 116
The Choice Option Contract 119
Introduction 119
A Choice Option Contract Example 119
Contents ix
Characteristics of Choice Option Contracts 123
Other Applications 126
The Compound Option Contract 129
Introduction 129
A Compound Option Contract Example 130
Characteristics of Compound Option Contracts 132
Other Applications 141
The Deferred Strike Option Contract 142
Introduction 142
A Deferred Strike Option Contract Example 142
Characteristics of Deferred Strike Option Contracts 144
Other Applications 148
The Lookback Option Contract 148
Introduction 148
A Lookback Option Contract Example 149
Characteristics of Lookback Option Contracts 151
Other Applications 160
The Nonlinear Payoff Option Contract 164
Introduction 164
A Nonlinear Payoff Option Contract Example 165
Characteristics of Nonlinear Payoff Option Contracts 168
Other Applications 172
The Product Option Contract 174
Introduction 174
A Product Option Contract Example 174
Characteristics of Product Option Contracts 176
Other Applications 192
The Sudden Birth/Death Option Contract 192
Introduction 192
A Barrier Option Contract Example 193
Characteristics of Barrier Option Contracts 195
Other Applications 201
Conclusion 202
Chapter 4
Intuitive Methods for Pricing Options 203
Introduction 203
Assumptions Underlying Asset Value Movements 204
x CONTENTS
Types of Valuation Techniques 207
The Binomial Method 209
Valuing Vanilla Options 212
Valuing Exotic Options 223
The Monte Carlo Method 290
Valuing European-Style Vanilla Options 292
Valuing Mid-Atlantic and American-Style Vanilla Options 301
Conclusion 337
APPENDIX 339
GLOSSARY 355
BIBLIOGRAPHY 409
INDEX 413 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Ravindran, K. |
| author_facet | Ravindran, K. |
| author_role | aut |
| author_sort | Ravindran, K. |
| author_variant | k r kr |
| building | Verbundindex |
| bvnumber | BV023517838 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3R38 1998 |
| callnumber-search | HG6024.A3R38 1998 |
| callnumber-sort | HG 46024 A3 R38 41998 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)611156186 (DE-599)BVBBV023517838 |
| dewey-full | 332.64/521 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 21 |
| dewey-search | 332.64/5 21 |
| dewey-sort | 3332.64 15 221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01333nam a2200349zc 4500</leader><controlfield tag="001">BV023517838</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080104000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">980928s1998 xxud||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0786305568</subfield><subfield code="9">0-7863-0556-8</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)611156186</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV023517838</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6024.A3R38 1998</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64/5 21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Ravindran, K.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Customized derivatives</subfield><subfield code="b">a step-by-step guide to using exotic options, swaps, and other customized derivatives</subfield><subfield code="c">K. Ravindran</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York, NY [u.a.]</subfield><subfield code="b">McGraw-Hill</subfield><subfield code="c">1998</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XXX, 350 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Exotic options (Finance)</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/description/mh022/97009623.html</subfield><subfield code="3">Publisher description</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016838274&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016838274</subfield></datafield></record></collection> |
| id | DE-604.BV023517838 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:32:13Z |
| indexdate | 2024-07-09T21:23:43Z |
| institution | BVB |
| isbn | 0786305568 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016838274 |
| oclc_num | 611156186 |
| open_access_boolean | |
| owner | DE-521 |
| owner_facet | DE-521 |
| physical | XXX, 350 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | McGraw-Hill |
| record_format | marc |
| spelling | Ravindran, K. Verfasser aut Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives K. Ravindran New York, NY [u.a.] McGraw-Hill 1998 XXX, 350 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivative securities Exotic options (Finance) http://www.loc.gov/catdir/description/mh022/97009623.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016838274&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ravindran, K. Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives Derivative securities Exotic options (Finance) |
| title | Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives |
| title_auth | Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives |
| title_exact_search | Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives |
| title_exact_search_txtP | Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives |
| title_full | Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives K. Ravindran |
| title_fullStr | Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives K. Ravindran |
| title_full_unstemmed | Customized derivatives a step-by-step guide to using exotic options, swaps, and other customized derivatives K. Ravindran |
| title_short | Customized derivatives |
| title_sort | customized derivatives a step by step guide to using exotic options swaps and other customized derivatives |
| title_sub | a step-by-step guide to using exotic options, swaps, and other customized derivatives |
| topic | Derivative securities Exotic options (Finance) |
| topic_facet | Derivative securities Exotic options (Finance) |
| url | http://www.loc.gov/catdir/description/mh022/97009623.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016838274&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT ravindrank customizedderivativesastepbystepguidetousingexoticoptionsswapsandothercustomizedderivatives |