'Asian options' presentation slideshows

ACCOUNTING FOR DERIVATIVES

ACCOUNTING FOR DERIVATIVES. Presentation by Bob Jensen Trinity University One Trinity Place San Antonio, TX 78212 rjensen@trinity.edu http://www.trinity.edu/rjensen/ . ACCOUNTING FOR DERIVATIVES. Bob Jensen 190 Sunset Hill Road Sugar Hill, NH 03586 Phone 603-823-8482

1.68k views • 84 slides

?????? : ??? Black-Scholes-Merton Theory of Derivative Pricing and Hedging

?????? : ??? Black-Scholes-Merton Theory of Derivative Pricing and Hedging. CH Han Dept of Quantitative Finance, Natl. Tsing-Hua Univ. Derivative Contracts. Derivatives, also called contingent claims , are contracts based on some underlying assets.

559 views • 31 slides

Chapter 20

Chapter 20. Options Markets: Introduction. Option Terminology. Buy - Long Sell - Short Call Put Key Elements Exercise or Strike Price Premium or Price Maturity or Expiration. Market and Exercise Price Relationships. In the Money - exercise of the option would be profitable

392 views • 26 slides

Fast Convolution Algorithm

Fast Convolution Algorithm. Alexander Eydeland, Daniel Mahoney. Fast Convolution Method (FCM). Eydeland (1994) Eydeland, Mahoney (2001, 2002) Computational efficiency Flexible numerical set-up Wide range of applications. Objective. Fast algorithm for computing Example: backward induction

665 views • 24 slides

Convergence Analysis of BTM

Convergence Analysis of BTM. Dr. DAI Min. Why convergence analysis is important?. To better understand the BTM and the continuous-time model American options Lookback options To develop new schemes FSGM Finite difference scheme. Consistency of BTM and PDE model for vanilla options (I).

379 views • 22 slides

Chapter 14

222 views • 22 slides

Practical Guide for Pricing FX Asian Option

An FX Asian option or Asian currency option is a special type of option contract where the payoff depends on the average of the underlying exchange rates over a certain period of time. The payoff is different from the case of a European option or American option, where the payoff of the option contract depends on the underlying FX rate at exercise date. This presentation provides an overview of FX Asian option product and valuation. You can find more details at http://www.finpricing.com/lib/EqAsian.html

181 views • 17 slides

FX Asian Option Introduction and Pricing Guide

FX Asian Option Introduction and Pricing Guide. Michael Taylor FinPricing. FX Asian.

178 views • 17 slides

Pricing Asian Options with the Binomial Model

Da-Yoon Chung Daniel Lu. Pricing Asian Options with the Binomial Model. Options. An option is a contract that can be bought or sold, its value is a function of the value of the underlying stock

435 views • 12 slides

Binomial Pricing Model: Tackling Exotic Options

239 views • 11 slides