Option Pricing Models built from Lévy Processes - 8 Angebote vergleichen
Preise | 2014 | 2015 | 2019 |
---|---|---|---|
Schnitt | € 23,90 | € 26,00 | € 22,76 |
Nachfrage |
Option Pricing Models Built from Levy Processes (Paperback) (2014)
ISBN: 9783639640816 bzw. 3639640810, in Deutsch, AV Akademikerverlag, United States, Taschenbuch, neu, Nachdruck.
Language: English Brand New Book ***** Print on Demand *****.This article seeks to studying two di erent methods of option pricing - one introduced in Carr and Madan (1999), and the other one in F. Fang and Oosterlee (2008) - suitable for stock prices following stochastic processes whose characteristic function is known. The advantage of these methods is that they do not require an explicit formula for the density function. For each method, we determine good computation parameters before comparing them in terms of e ciency and accuracy. As an intermediary step, and because the Carr-Madan method is not compatible with a customised strike grid, we study two interpolation methods: the linear and the natural cubic spline interpolations. We also discuss the calibration problem, explain why it is not as straightforward as it may seem, and compare the results obtained for both models.
Option Pricing Models built from Lévy Processes - An Empirical Comparison (2008)
ISBN: 9783639640816 bzw. 3639640810, vermutlich in Englisch, AV Akademikerverlag, Taschenbuch, neu.
Option Pricing Models built from Lévy Processes: This article seeks to studying two di erent methods of option pricing - one introduced in Carr and Madan (1999), and the other one in F. Fang and Oosterlee (2008) - suitable for stock prices following stochastic processes whose characteristic function is known. The advantage of these methods is that they do not require an explicit formula for the density function. For each method, we determine good computation parameters before comparing them in terms of e ciency and accuracy. As an intermediary step, and because the Carr-Madan method is not compatible with a customised strike grid, we study two interpolation methods : the linear and the natural cubic spline interpolations. We also discuss the calibration problem, explain why it is not as straightforward as it may seem, and compare the results obtained for both models. Englisch, Taschenbuch.
Option Pricing Models built from Lévy Processes
ISBN: 9783639640816 bzw. 3639640810, in Deutsch, VDM Verlag Dr. Müller, Saarbrücken, Deutschland, neu.
This article seeks to studying two di erent methods of option pricing - one introduced in Carr and Madan (1999), and the other one in F. Fang and Oosterlee (2008) - suitable for stock prices following stochastic processes whose characteristic function is known. The advantage of these methods is that they do not require an explicit formula for the density function. For each method, we determine good computation parameters before comparing them in terms of e ciency and accuracy. As an intermediary step, and because the Carr-Madan method is not compatible with a customised strike grid, we study two interpolation methods : the linear and the natural cubic spline interpolations. We also discuss the calibration problem, explain why it is not as straightforward as it may seem, and compare the results obtained for both models.
Option Pricing Models built from Lévy Processes (2008)
ISBN: 9783639640816 bzw. 3639640810, vermutlich in Englisch, VDM Verlag Dr. Müller, Saarbrücken, Deutschland, neu, Hörbuch.
This article seeks to studying two di erent methods of option pricing - one introduced in Carr and Madan (1999), and the other one in F. Fang and Oosterlee (2008) - suitable for stock prices following stochastic processes whose characteristic function is known. The advantage of these methods is that they do not require an explicit formula for the density function. For each method, we determine good computation parameters before comparing them in terms of e ciency and accuracy. As an intermediary step, and because the Carr-Madan method is not compatible with a customised strike grid, we study two interpolation methods : the linear and the natural cubic spline interpolations. We also discuss the calibration problem, explain why it is not as straightforward as it may seem, and compare the results obtained for both models.
Option Pricing Models built from Lévy Processes
ISBN: 3639640810 bzw. 9783639640816, vermutlich in Englisch, AV Akademikerverlag, Taschenbuch, neu.
Option Pricing Models built from Lévy Processes (2014)
ISBN: 9783639640816 bzw. 3639640810, vermutlich in Englisch, VDM Verlag Dr. Müller, Saarbrücken, Deutschland, Taschenbuch, neu.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Option Pricing Models built fr (2014)
ISBN: 9783639640816 bzw. 3639640810, vermutlich in Englisch, VDM Verlag Dr. Müller, Saarbrücken, Deutschland, Taschenbuch, neu.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen