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Levy-Type Models for Equity Derivatives

Name: Levy-Type Models for Equity Derivatives
Brand: VDM Verlag
SKU: 06841968
Price: 63.59 EUR
Availability: InStock
Author: Karsten Weber
ISBN: 9783639348811

On the Pricing of Exotic Equity Derivatives under Pure Jump Levy-Type Models

Karsten Weber

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Inglés

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Código Libristo: 06841968

Editores VDM Verlag, abril 2011

First, we lay the theoretical foundation by reviewing Levy Processes and their properties. Next, sto... Descripción completa

Código Libristo: 06841968

156 b

63.59 €

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First, we lay the theoretical foundation by reviewing Levy Processes and their properties. Next, stochastic time change techniques are discussed thoroughly, including subordinated Levy Processes, and general time- changed ones. A general framework on how to price European options, and therefore on how to calibrate these models to market data, is presented and its implementation is discussed. Besides going over the properties of selected models, we will also demonstrate how to perform simulations of the desired quantities. Tests with real market data are carried out - we judge the empirical power of the models by comparing their t to market data, and analyze path behavior implied by the calibration procedure. This gives good intuition for the pricing of exotic options. In particular, we devote one chapter each to Barrier and Cliquet Options - and comparisons to quotes found in the OTC market.