American-Style Derivatives - Valuation and Computation (Hardcover)

While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are constantly emerging in response to evolving economic conditions and regulations. Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with an emphasis on the valuation of American options on dividend-paying assets. The book begins with a review of valuation principles for European contingent claims in a financial market in which the underlying asset price follows an Ito process and the interest rate is stochastic and then extends the analysis to American contingent claims. In this context the author lays out the basic valuation principles for American claims and describes instructive representation formulas for their prices. The results are applied to standard American options in the Black-Scholes market setting as well as to a variety of exotic contracts such as barrier, capped, and multi-asset options. He also reviews numerical methods for option pricing and compares their relative performance. The author explains all the concepts using standard financial terms and intuitions and relegates proofs to appendices that can be found at the end of each chapter. The book is written so that the material is easily accessible not only to those with a background in stochastic processes and/or derivative securities, but also to those with a more limited exposure to those areas.

General

Imprint:	Chapman & Hall/CRC
Country of origin:	United States
Series:	Chapman and Hall/CRC Financial Mathematics Series
Release date:	December 2005
First published:	2006
Authors:	Jerome Detemple
Dimensions:	234 x 156 x 19mm (L x W x T)
Format:	Hardcover
Pages:	248
ISBN-13:	978-1-58488-567-2
Categories:	Books > Business & Economics > Economics > International economics > International finance Books > Science & Mathematics > Mathematics > Number theory > General
LSN:	1-58488-567-X
Barcode:	9781584885672

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