Pricing and Hedging American Options: A Recursive Integration Method
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging of American Knock-In Options
C omplex derivatives have become accepted instruments to tailor risk coverage for risk managers and investors. Barrier-type options have become important instruments, particularly for the valuation of structured products (see Banks [1994]). They are also widely used in currency markets. The holder of a barrier option acquires option coverage on only a subset of the risky outcomes for which a pl...
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We survey the theoretical and the computational problems associated with the pricing of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all the spread options by discussing in detail their roles as spe...
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Abstract In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the Greeks for our proposed methods. ...
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In general, contingent claims on assets which may default during the duration of the contract cannot be priced and hedged consistently. This is due to the fact that the possibility of a default event brings in an extra uncertain factor, and there are therefore too few assets to construct a hedge against all sources of uncertainty. In this paper we show that consistent pricing and hedging is sti...
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Do long-term and short-term options contain di!erential information? If so, can long-term options better di!erentiate among alternative models? To answer these questions, we "rst demonstrate analytically that di!erences among alternative models usually may not surface when applied to short-term options, but do so when applied to longterm contracts. Using S&P 500 options and LEAPS, we "nd that s...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 1996
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/9.1.277