Options Under Transaction Costs: Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates - Brossura

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9783836492393: Options Under Transaction Costs: Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates
Brossura
ISBN 10: 3836492393 ISBN 13: 9783836492393
Casa editrice: Vdm Verlag Dr Mueller E K, 2008

Sinossi

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.

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Editore
Vdm Verlag Dr Mueller E K
Data di pubblicazione
2008
Lingua
Inglese
ISBN 10 
3836492393
ISBN 13 
9783836492393
Rilegatura
Copertina flessibile
Numero di pagine
148
Contatto del produttore
non disponibile
Persona responsabile
non disponibile