American-Style Derivatives —— Valuation and Computation

----- 美式衍生品

ISBN: 9781584885672 出版年：2005 页码：247 Detemple, Jerome Chapman and Hall/CRC

INTRODUCTION EUROPEAN CONTINGENT CLAIMS Definitions The Economy Attainable Contingent Claims Valuation of Attainable Claims Claims Involving Negative Payoffs The Structure of Contingent Claims' Prices Changes of Numeraire and Valuation Option and Forward Contracts Markets with Deterministic Coefficients Markets with Multiple Assets Appendix: Proofs AMERICAN CONTINGENT CLAIMS Contingent Claims with Random Maturity American Contingent Claims Exercise Premium Representations A Duality Formula: Upper Price Bounds American Options and Forward Contracts Multiple Underlying Assets Appendix: Proofs STANDARD AMERICAN OPTIONS The Immediate Exercise Region The Call Price Function Early Exercise Premium Representation A One-Dimensional Integral Equation Hedging Diffusion Processes Floating Strike Asian Options American Forward Contracts Appendix: Proofs BARRIER AND CAPPED OPTIONS Barrier Options Capped Options Diffusion Processes Appendix: Proofs OPTIONS ON MULTIPLE ASSETS Definitions, Examples and Literature The Financial Market Call Options on the Maximum of 2 Assets American Spread Options Options on an Average of 2 Assets Call Options on the Minimum of 2 Assets Options with n > 2 Underlying Assets Appendix A: Derivatives on Multiple Assets Appendix B: Proofs OCCUPATION TIME DERIVATIVES Background and Literature Definitions Symmetry Properties Quantile Options Parisian Options Cumulative Parisian Contingent Claims Step Options American Occupation Time Derivatives Multiasset Claims Appendix: Proofs NUMERICAL METHODS Numerical Methods for American Options Integral Equation Methods Exercise Time Approximations: LBA-LUBA Diffusion Processes Other Recent Approaches Performance Evaluation Methods for Multiasset Options Methods for Occupation Time Derivatives Appendix: Proofs Bibliography Index