Temat: Options pricing - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Czy można wycenić opcje europejskie lepiej niż w modelu P. Carra i D. Madana? Przegląd modeli opartych na transformacie Fouriera
Can European-Style Options Be Priced Better Than in Carr-Madan Model. Review of Models Based on Fourier Transform
Autorzy:: Orzechowski, Arkadiusz
Powiązania:: https://bibliotekanauki.pl/articles/592898.pdf
Data publikacji:: 2014
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Tematy:: Modele wyceny
Opcje europejskie
Wycena opcji
European options
Options pricing
Pricing models
Opis:: This document relates to the valuation of options using the Fourier transform. Topics covered in the document include both analysis of the traditional approaches and alternative concepts. The subject matter of particular interest is the speed and computational precision of the European-style option valuation methods.
Źródło:: Studia Ekonomiczne; 2014, 186 cz 2; 157-174
2083-8611
Pojawia się w:: Studia Ekonomiczne
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Pricing correlation options: from the P. Carr and D. Madan approach to the new method based on the Fourier transform
Autorzy:: Orzechowski, Arkadiusz
Powiązania:: https://bibliotekanauki.pl/articles/557794.pdf
Data publikacji:: 2018-03-30
Wydawca:: Uniwersytet Ekonomiczny w Poznaniu
Tematy:: Fourier transform
pricing of options
correlation options
Opis:: Pricing of options plays an important role in the financial industry. Investors knowing how to price derivative contracts quickly and accurately can beat the market. On the other hand market participants constructing their investment strategies with the use of options based on techniques that do not assure the highest computational speed and efficiency are doomed to failure. The aim of the article is to extend the existing methodology of pricing correlation options based on the Fourier transform. The article starts with a presentation of Carr and Madan’s concept (Carr & Madan, 1999). Then other methods of pricing options with the use of the Fourier transform are summarized. Finally, a new approach to pricing derivative contracts is derived and then applied to the correlation options.
Źródło:: Economics and Business Review; 2018, 4(18), 1; 16-28
2392-1641
Pojawia się w:: Economics and Business Review
Dostawca treści:: Biblioteka Nauki

Artykuł

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