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Pricing Path Dependent Exotic Options

Otto Konstandatos

ISBN 10: 3639055918 / ISBN 13: 9783639055917
Published by VDM Verlag
New Condition: New Soft cover
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About this Item

232 pages. Dimensions: 8.9in. x 6.0in. x 0.6in.This book presents a novel two-part framework for pricing all conceivable barrier and lookback options in the Black-Scholes world. The first part calls for the static replication of vanilla and exotic option prices into simpler European derivative contracts, termed binary options. These are of various orders and types, and are expressible in terms of the multi-normal distribution function. The second part values all types of weakly path-dependent options via the properties of the Image Method of Buchen, and the various extensions developed here. With our methods, the task of pricing any option with either barrier features (whether single, double or exotic), or lookback features, or both, is reducible to pricing equivalent portfolios of the path-independent binaries we have defined. All pricing presented using the framework is accomplished without recourse to formally solving PDEs nor calculating expectations. We use our methods to price all the standard and exotic barrier and lookback options extant in the literature, as well as to create and price numerous non-trivial extensions in both the single and multi-dimensional case. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Bookseller Inventory # 9783639055917

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Bibliographic Details

Title: Pricing Path Dependent Exotic Options

Publisher: VDM Verlag

Binding: Paperback

Book Condition:New

Book Type: Paperback

About this title

Synopsis:

This book presents a novel two-part framework for pricing all conceivable barrier and lookback options in the Black-Scholes world. The first part calls for the static replication of vanilla and exotic option prices into simpler European derivative contracts, termed binary options. These are of various orders and types, and are expressible in terms of the multi-normal distribution function. The second part values all types of weakly path-dependent options via the properties of the Image Method of Buchen, and the various extensions developed here. With our methods, the task of pricing any option with either barrier features (whether single, double or exotic), or lookback features, or both, is reducible to pricing equivalent portfolios of the path-independent binaries we have defined. All pricing presented using the framework is accomplished without recourse to formally solving PDEs nor calculating expectations. We use our methods to price all the standard and exotic barrier and lookback options extant in the literature, as well as to create and price numerous non-trivial extensions in both the single and multi-dimensional case.

About the Author:

The author graduated with First Class Honours and Medal in Mathematics, and Law from Sydney University, where he also completed his doctorate. He currently lectures in the School of Finance and Economics, The University of Technology, Sydney. Aspects of this work were awarded the Q-Group Australia Prize, 2003.

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