Options Under Transaction Costs : Algorithms for Pricing and Hedging ofEuropean and American Options Under ProportionalTransaction Costs and Different Borrowing and Lending Rates
Language: English
Published by VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K., 2008
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 54.16
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Add to basketItem description from seller
Neuware - This book is aimed at researchers and PhD studentsin mathematical finance. It studies the pricing andhedging of options in ¿nancial markets withproportional transaction costs on trading in shares,modeled as bid-ask spreads, and different interestrates for borrowing and lending of cash. This isdone by means of fair pricing and super-hedging.The fair price of an option is any market price forit that does not allow traders to make profit withno risk, and a super-hedging strategy allows theseller and buyer to remain in a solvent positionafter respectively delivering and receiving theoption payoff. Efficient algorithms are presentedfor computing the bid and ask prices of European andAmerican options; these prices serve as bounds onthe fair prices. This unifies all existing algorithmsfor the calculation of such prices. As a by-product,a straightforward iterative method is found fordetermining the optimal super-hedging strategies(and stopping times) for both the buyer and sellerof an option, and also optimal stopping strategiesin the case of American options.…
Seller Inventory # 9783836492393
- Title
- Options Under Transaction Costs : Algorithms for Pricing and Hedging ofEuropean and American Options Under ProportionalTransaction Costs and Different Borrowing and Lending Rates
- Author
- Alet Roux
- Publisher
- VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K.
- Publication year
- 2008
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3836492393
- ISBN 13
- 9783836492393
- Item weight
- 250 grams
- Dimensions
- 220x150x9 mm
"Synopsis" may belong to another edition of this title.
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