Frohe Weihnachten und wunderbare Buchmomente!

Bookbot
Das Buch ist derzeit nicht auf Lager

The hyperbolic model: Option pricing using approximation and Quasi-Monte Carlo methods

Autoren

140 Seiten

Mehr zum Buch

The dissertation explores the mathematical significance of options, building on the foundational work of Black and Scholes while challenging their assumption of normally distributed log-returns. It adopts the hyperbolic distribution model proposed by Eberlein and Keller, expanding the analysis to include Asian, American, and multi-asset options. The research extends the standard martingale measure through an entropy-minimizing approach, acknowledging the impossibility of exact pricing for these options. Instead, it employs numerical simulations, including Monte Carlo methods with variance reduction techniques and quasi-Monte Carlo methods.

Parameter

ISBN
9783640305476

Kategorien

Buchvariante

2009, paperback

Buchkauf

Wir benachrichtigen dich per E-Mail.