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

Roux, Alet

 
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
Couverture souple
ISBN 10 : 3836492393 ISBN 13 : 9783836492393
Editeur : VDM Verlag Dr. Mueller E.K., 2008

Synopsis

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 algo-rithms 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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag Dr. Mueller E.K.
Date d'édition
2008
Langue
anglais
ISBN 10 
3836492393
ISBN 13 
9783836492393
Reliure
Broché
Nombre de pages
156
Coordonnées du fabricant
non disponible
Personne responsable
non disponible