Alternative Derivatives Pricing: Formal Approach - Couverture souple

Gikhman, Ilya

 
9783838366050: Alternative Derivatives Pricing: Formal Approach
Couverture souple
ISBN 10 : 3838366050 ISBN 13 : 9783838366050
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

There are several distinctions between this book and others. The primary distinction is that we developed derivatives pricing which could not be reduced to Black-Scholes benchmark. Other distinction we do not used either expected or present value reduction standards to present equality two cash flows generated by derivative instruments. Our approach in pricing derivatives is based on the equal investment principle applied for each admissible scenario. For instance, a call option price is reflected by the underlying return for each scenario that promises price at maturity higher than its strike. The main peculiarity of this pricing is that there is no ?fair? price and each spot or theoretical prices implies the risk. This market risk can be calculated based on statistical assumption regarding distribution of the derivative underlying.

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

Présentation de l'éditeur

There are several distinctions between this book and others. The primary distinction is that we developed derivatives pricing which could not be reduced to Black-Scholes benchmark. Other distinction we do not used either expected or present value reduction standards to present equality two cash flows generated by derivative instruments. Our approach in pricing derivatives is based on the equal investment principle applied for each admissible scenario. For instance, a call option price is reflected by the underlying return for each scenario that promises price at maturity higher than its strike. The main peculiarity of this pricing is that there is no ?fair? price and each spot or theoretical prices implies the risk. This market risk can be calculated based on statistical assumption regarding distribution of the derivative underlying.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3838366050
ISBN 13 
9783838366050
Reliure
Broché
Nombre de pages
164
Coordonnées du fabricant
non disponible
Personne responsable
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