American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series) - Image 1

£58.87

CRC Press American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)

Name: American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)
Brand: CRC Press
Price: 58.87 GBP
Availability: InStock

Economics

Price History & Forecast

Last 36 days • 36 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 36 days • 2 price levels

Days at Price

Current Price

Price Analysis

Most common price: £59 (27 days, 75.0%)

Price range: £57 - £59

Price levels: 2 different prices over 36 days

Description

While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are constantly emerging in response to evolving economic conditions and regulations. Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with an emphasis on the valuation of American options on dividend-paying assets. The book begins with a review of valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Ito process and the interest rate is stochastic and then extends the analysis to American contingent claims. In this context the author lays out the basic valuation principles for American claims and describes instructive representation formulas for their prices. The results are applied to standard American options in the Black-Scholes market setting as well as to a variety of exotic contracts such as barrier, capped, and multi-asset options. He also reviews numerical methods for option pricing and compares their relative performance. The author explains all the concepts using standard financial terms and intuitions and relegates proofs to appendices that can be found at the end of each chapter. The book is written so that the material is easily accessible not only to those with a background in stochastic processes and/or derivative securities, but also to those with a more limited exposure to those areas.

Product Specifications

Brand: CRC Press
Format: Paperback
ASIN: 0367391589
Category: Books > Subjects > Business, Finance & Law > Economics
Domain: Amazon UK
Release Date: 23 October 2019
Listed Since: 08 August 2019

Barcode

No barcode data available

CRC Press American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)

Introduction to Stochastic Calculus Applied to Finance (Chapman and Hall/CRC Financial Mathematics Series)

Introduction to Stochastic Calculus Applied to Finance (Chapman and Hall/CRC Financial Mathematics Series)

An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics)

An Introduction to Financial Mathematics: Option Valuation (Chapman and Hall/CRC Financial Mathematics Series)

Financial Mathematics: From Discrete to Continuous Time (Chapman and Hall/CRC Financial Mathematics Series)

Introduction to Stochastic Finance with Market Examples (Chapman and Hall/CRC Financial Mathematics Series)

Stochastic Finance: A Numeraire Approach (Chapman and Hall/CRC Financial Mathematics Series)

An Introduction to Financial Mathematics: Option Valuation (Chapman and Hall/CRC Financial Mathematics Series)

Stochastic Financial Models (Chapman and Hall/CRC Financial Mathematics Series)

Numerical Methods for Finance (Chapman & Hall/CRC Financial Mathematics)

Pricing Models of Volatility Products and Exotic Variance Derivatives (Chapman and Hall/CRC Financial Mathematics Series)

Optional Processes: Theory and Applications (Chapman and Hall/CRC Financial Mathematics Series)

Financial Mathematics: A Comprehensive Treatment in Discrete Time (Chapman and Hall/CRC Financial Mathematics Series)

Stochastic Finance: A Numeraire Approach (Chapman and Hall/CRC Financial Mathematics Series)

The Mathematics of Finance: Modeling and Hedging (Pure and Applied Undergraduate Texts)

Options Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics)

Pricing Models of Volatility Products and Exotic Variance Derivatives (Chapman and Hall/CRC Financial Mathematics Series)

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making: 33 (Chapman and Hall/CRC Financial Mathematics Series)

Computing Financial Derivatives: A Finite-Difference Approach (Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series)

Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series)

Continuous Stochastic Calculus with Applications to Finance: 17 (Applied Mathematics)

Analytical Finance: Volume I: The Mathematics of Equity Derivatives, Markets, Risk and Valuation: 1

Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)