Search Results - subject:"options américaines"

Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach

Detemple, Jérôme B.; Sundaresan, Suresh - Centre Interuniversitaire de Recherche en Analyse des … - 1999

We provide a simple binomial framework to value American-style derivatives subject to trading restrictions. The optimal investment of liquid wealth is solved simultaneously with the early exercise decision of the non-traded derivative. No-short-sales constraints on the underlying asset manifest...

Persistent link: https://www.econbiz.de/10005100781

Pricing Discretely Monitored Barrier Options by a Markov Chain

Duan, Jin-Chuan; Dudley, Evan; Gauthier, Geneviève; … - Centre Interuniversitaire de Recherche en Analyse des … - 1999

We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework...

Persistent link: https://www.econbiz.de/10005100792

The Valuation of Volatility Options

Detemple, Jérôme B.; Osakwe, Carlton - Centre Interuniversitaire de Recherche en Analyse des … - 1999

This paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility follows a general diffusion process. Explicit...

Persistent link: https://www.econbiz.de/10005100856

American Options: Symmetry Properties

Detemple, Jérôme B. - Centre Interuniversitaire de Recherche en Analyse des … - 1999

A useful feature of European and American options in the standard financial market model with constant coefficients is the property of put-call symmetry. This property states that the value of a put option with strike price K and maturity date T is the same as the value of a call option with...

Persistent link: https://www.econbiz.de/10005100907

Recent Advances in Numerical Methods for Pricing Derivative Securities

Broadie, Mark; Detemple, Jérôme B. - Centre Interuniversitaire de Recherche en Analyse des … - 1996

'appliquent aux options américaines standard sur actif sous-jacent unique, aux options avec barrières (barrier options) et …

Persistent link: https://www.econbiz.de/10005100731

American Options on Dividend-Paying Assets

Broadie, Mark; Detemple, Jérôme B. - Centre Interuniversitaire de Recherche en Analyse des … - 1996

'évaluation des options américaines sur des actifs qui payent des dividendes. Nous passons tout d'abord en revue les principes d … prix de l'actif sous-jacent suit un mouvement Brownien géométrique et le taux d'intérêt est constant. Les options … américaines plafonnées, avec plafond constant ou croissant, sont ensuite analysées. Des formules d'évaluation sont tout d …

Persistent link: https://www.econbiz.de/10005101078