Pricing Options with Futures Style Margining is popular PDF and ePub book, written by Alan White in 2014-02-04, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Pricing Options with Futures Style Margining can be Read Online from any device for your convenience.
Pricing Options with Futures Style Margining Book PDF Summary
This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.
Detail Book of Pricing Options with Futures Style Margining PDF
- Author : Alan White
- Release : 04 February 2014
- Publisher : Routledge
- ISBN : 9781135687892
- Genre : Business & Economics
- Total Page : 224 pages
- Language : English
- PDF File Size : 15,9 Mb
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