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American-Style Derivatives: Valuation and Computation

American-Style Derivatives: Valuation and Computation (Hardback, Contains 4 Hardbacks)

By Detemple, Jerome

  • RRP: $200.00
  • $200.00
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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 deve...lopments 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.
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ISBN 9781584885672
Released AU 9 Dec 2005
Publisher Taylor & Francis Inc
Format Hardback, Contains 4 Hardbacks
Alternate Format(s) View All (1 other possible title(s) available)
Series Chapman & Hall/CRC Financial Mathematics Series
Availability
In stock at publisher; delivery usually 15-20 working days due to covid19 delays

Full details for this title

ISBN-13 9781584885672
Stock Available
Status In stock at publisher; delivery usually 15-20 working days due to covid19 delays
Publisher Taylor & Francis Inc
Imprint Chapman & Hall/CRC
Released 9 Dec 2005
Publication Country United States United States
Format Hardback, Contains 4 Hardbacks
Contains Contains 4 Hardbacks
Author(s) By Detemple, Jerome
Series Chapman & Hall/CRC Financial Mathematics Series
Category International Finance
Number Theory
Number of Pages 248
Dimensions Width: 156mm
Height: 234mm
Spine: 19mm
Dewey Code 332.6457
Weight 499g
Interest Age General Audience
Reading Age General Audience
Library of Congress Derivative securities - United States, Derivative securities - Valuation
NBS Text Mathematics
ONIX Text Professional and scholarly

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