Simplified Valuation of Single-Payoff Financial Instruments

R B Carroll and D A Brask

Review of Quantitative Finance and Accounting, 1999, vol. 12, issue 4, 383-93

Abstract: Cheung and Chung (1996) presented a set of four basic components that can be used to reconstruct piecewise linear payoff diagrams associated with single-payoff instruments. Arbitrage arguments indicate that this provides a method to value complex financial instruments as the sum of the values of their underlying basic components. We present a modified scheme using two hybrid components which were constructed so that each piecewise linear segment can be replicated independently. This leads to a simple algorithm that is amenable to quick computer implementation. Copyright 1999 by Kluwer Academic Publishers

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://journals.kluweronline.com/issn/0924-865X/contents link to full text (text/html)
Access to full text is restricted to subscribers.

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:kap:rqfnac:v:12:y:1999:i:4:p:383-93

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().