Levy-Type Models for Equity Derivatives

Autor:
Verfügbarkeit:
Auf Lager.
Artikelnummer:
907039
  • Produktbeschreibung

    Levy-Type Models for Equity Derivatives

    First, we lay the theoretical foundation by reviewing Levy Processes and their properties. Next, stochastic time change techniques are discussed thoroughly, including subordinated Levy Processes, and general time- changed ones. A general framework on how to price European options, and therefore on how to calibrate these models to market data, is presented and its implementation is discussed. Besides going over the properties of selected models, we will also demonstrate how to perform simulations of the desired quantities. Tests with real market data are carried out - we judge the empirical power of the models by comparing their t to market data, and analyze path behavior implied by the calibration procedure. This gives good intuition for the pricing of exotic options. In particular, we devote one chapter each to Barrier and Cliquet Options - and comparisons to quotes found in the OTC market.
  • Zusatzinformation

    Autor
    Bindung
    Taschenbuch
    Verlag
    VDM Verlag Dr. Müller
    ISBN / EAN
    9783639348811
  • Sie könnten auch an folgenden Produkten interessiert sein

    Art.Nr. 1028277

    Reiß:Praxisbuch IT-Dokumentation

    46,30
    Art.Nr. 1479181

    Ramirez Molina:Diseño de una arquitectu

    71,00
    Art.Nr. 1459513

    Seibert,J.:Anwend.v.Semantic-Web Techn.

    50,40
  • 0 Kundenmeinungen

    Schreiben Sie selbst eine Rezension

    Ihre Meinung interessiert uns – und hilft anderen Kunden bei der Auswahl.

    Wenn Sie dieses Eingabefeld sehen sollten, lassen Sie es leer!