DERIVATIVES AND PATH-DEPENDENT DERIVATIVES: EXTENSIONS AND GENERALIZATIONS OF THE LATTICE APPROACH BY ACCOUNTING FOR INFORMATION COSTS AND ILLIQUIDITY

Mondher Bellalah
Additional contact information
Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 7 in Derivatives, Risk Management & Value, 2009, pp 327-363 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionThe Standard Lattice Approach for Equity Options: The Standard AnalysisThe model for options on a spot asset with any pay outsThe model for futures optionsThe model with dividendsA known dividend yieldA known proportional dividend yieldA known discrete dividendExamplesThe European put price with dividendsThe American put price with dividendsA Simple Extension to Account for Information Uncertainty in the Valuation of Futures and OptionsOn the valuation of derivatives and information costsThe valuation of forward and futures contracts in the presence of information costsForward, futures, and arbitrageThe valuation of forward contracts in the absence of distributions to the underlying assetThe valuation of forward contracts in the presence of a known cash income to the underlying assetThe valuation of forward contracts in the presence of a known dividend yield to the underlying assetThe valuation of stock index futuresThe valuation of Forward and futures contracts on currenciesThe valuation of futures contracts on silver and goldThe valuation of Futures on other commoditiesArbitrage and information costs in the lattice approachThe binomial model for options in the presence of a continuous dividend stream and information costsThe binomial model for options in the presence of a known dividend yield and information costsThe binomial model for options in the presence of a discrete dividend stream and information costsThe binomial model for futures options in the presence of information costsThe lattice approach for American options with information costs and several cash distributionsThe modelThe Binomial Model and the Risk Neutrality: Some Important DetailsThe binomial parameters and risk neutralityThe convergence argumentThe Hull and White Trinomial Model for Interest Rate OptionsPricing Path-Dependent Interest Rate Contingent Claims Using a LatticeThe frameworkValuation of the path-dependent securityFixed-coupon rate securityFloating-coupon securityOptions on path-dependent securitiesShort-dated optionsLong-dated optionsSummaryQuestionsReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812838636_0007 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812838636_0007 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812838636_0007

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().