American-Style Derivatives: Valuation and Computation

ISBN-13: 9780367391584 / Angielski / Miękka / 2019 / 248 str.

Jerome DeTemple

Opis

Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and extends the analysis to American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options. It also reviews numerical methods for option pricing and compares their relative performance. Ideal for students and researchers in quantitative finance, this material is accessible to those with a background in stochastic processes or derivative securities.

Spis treści

Introduction. European Contingent Claims. American Contingent Claims. Standard American Options. Barrier and Capped Options. Options on Multiple Assets. Occupation Time Derivatives. Numerical Methods. Appendix: Proofs. Bibliography. Index.

O autorze

Detemple, Jerome