RISK MANAGEMENT, NUMERICAL METHODS AND OPTION PRICING

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

Chapter 19 in Derivatives, Risk Management & Value, 2009, pp 801-831 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionNumerical Analysis and Simulation Techniques: An Introduction to Finite Difference MethodsThe implicit difference schemeExplicit difference schemeAn extension to account for information costsApplication to European Options on Non-Dividend Paying StocksThe analytic solutionThe numerical solutionAn application to European calls on non-dividend paying stocks in the presence of information costsValuation of American Options with a composite VolatilityThe effect of interest rate volatility on the index volatilityValuation of index options with a composite volatilityNumerical solutions and simulationsSimulation Methods: Monte–Carlo MethodSimulation of Gaussian variablesRelationship between option values and simulation methodsSummaryQuestionsAppendix A: Simple Concepts in Numerical AnalysisThe heat transfer equationSome simple numerical schemes for the heat transfer equationAppendix B: An Algorithm for a European CallAppendix C: The Algorithm for the Valuation of American Long-term Index Options with a Composite VolatilityExercisesSolutionAppendix D: The Monte–Carlo Method and the Dynamics of Asset PricesReferences

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_0019 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812838636_0019 (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_0019

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 ().