American-style derivatives : valuation and computation /: valuation and computation. (2006)

• Record Type: Book
• Further Information: Note: Jérôme Detemple.
• Other Names: Detemple, Jérôme
• Contents: INTRODUCTION; ; EUROPEAN CONTINGENT CLAIMS; Definitions; The Economy; Attainable Contingent Claims; Valuation of Attainable Claims; Claims Involving Negative Payoffs; The Structure of Contingent Claims' Prices; Changes of Numeraire and Valuation; Option and Forward Contracts; Markets with Deterministic Coefficients; Markets with Multiple Assets; Appendix: Proofs; ; AMERICAN CONTINGENT CLAIMS; Contingent Claims with Random Maturity; American Contingent Claims; Exercise Premium Representations; A Duality Formula: Upper Price Bounds; American Options and Forward Contracts; Multiple Underlying Assets; Appendix: Proofs; ; STANDARD AMERICAN OPTIONS; The Immediate Exercise Region; The Call Price Function; Early Exercise Premium Representation; A One-Dimensional Integral Equation; Hedging; Diffusion Processes; Floating Strike Asian Options; American Forward Contracts; Appendix: Proofs; ; BARRIER AND CAPPED OPTIONS; Barrier Options; Capped Options; Diffusion Processes; Appendix: Proofs; ; OPTIONS ON MULTIPLE ASSETS; Definitions, Examples and Literature; The Financial Market; Call Options on the Maximum of 2 Assets; American Spread Options; Options on an Average of 2 Assets; Call Options on the Minimum of 2 Assets; Options with n > 2 Underlying Assets; Appendix A: Derivatives on Multiple Assets; Appendix B: Proofs; ; OCCUPATION TIME DERIVATIVES; Background and Literature; Definitions; Symmetry Properties; Quantile Options; Parisian Options; Cumulative Parisian Contingent Claims; Step Options; American Occupation Time Derivatives; Multiasset Claims; Appendix: Proofs; ; NUMERICAL METHODS; Numerical Methods for American Options; Integral Equation Methods; Exercise Time Approximations: LBA-LUBA; Diffusion Processes; Other Recent Approaches; Performance Evaluation; Methods for Multiasset Options; Methods for Occupation Time Derivatives; Appendix: Proofs; Bibliography; Index
• Publisher Details: Boca Raton [Fla.] : Taylor & Francis
• Publication Date: 2006
• Extent: 1 online resource (232 pages), illustrations
• Subjects: 332.64/57; Derivative securities -- United States; Derivative securities -- Valuation; Derivative securities; Derivative securities -- Valuation; United States; Electronic books
• Languages: English
• ISBNs: 9781584885672; 9781420034868; 1420034863
• Related ISBNs: 158488567X
• Notes: Note: Includes bibliographical references (pages 217-228) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.