American-style derivatives: valuation and computation
Auteur :
Detemple, Jerome
Éditeur :
Taylor & Francis Inc
ISBN :
9781584885672
Date de publication :
9 déc. 2005
Dimensions :
23,4 x 15,6 cm
Poids :
498 g
Langue :
Anglais
Pays d'origine :
USA
Offers a treatment of option pricing with an emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and analyses the American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options.