Compare Prices | Create Shopping Lists with Price Drop Alerts | Set Coupons, Promo Codes & Sales Alerts | Get Access to Exclusive Deals and Much More... All in One Place | Read all about it here

Market Expectations and Option Prices

Market Expectations and Option Prices

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783790800494
Condition
New
Product Description

This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities........ .. 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model... . . .. . 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation ............................................... 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. . . .. 13 2.4 Summary............................................... 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model .................................................. 16 Appendix 2B: Some Further Details on the Replication Strategy ... 21 3 Survey of the Related Literature .......................... 23 3.1 The Information Content of Forward and Futures Prices. . . .. . 24 3.2 The Information Content of Implied Volatilities ............. 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density .......................................... 27 3.2.2 The Term Structure of Implied Volatilities. . . . . . . .. . . 29 . 3.2.3 The Forecasting Information in Implied Volatilities. . .. 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium ..... . . . . . . . . . . . . . . . . . . .. . . 45 . . . . . .

Available Colors
Available Sizes
1 Offer Price Range: $84.99 - $84.99
BEST PRICE

Single Product Purchase

$84.99
@ Link.springer.com     BUY Now

Price Comparison

Seller Contact Seller List Price On Sale Shipping Best Promo Final Price Volume Discount Financing Availability Seller's Page
BEST PRICE
1 Product Purchase
@ Link.springer.com
Contact Store Call Store Contact Support
$84.99 $84.99

$84.99
See Site In stock Visit Store

Similar Products

Jasmine Toguchi, Mochi Queen

$5.96

Eco-efficiency of Grinding Processes and Systems

$84.99

Journalism Cultures in Sierra Leone

$99.00

Green-Function Theory of Chemisorption

$109.99

Biophilic and Bioclimatic Architecture

$249.99

An Introduction to Radiation Protection

$39.99

Der Glubigerschutz in der Unternehmergesellschaft

$64.99

Machine Learning, Optimization, and Data Science

$54.99

New Data and Updates for II-VI Compounds

$549.99

Familienpolitik als Reformprozess

$39.99

ECOOP 2008 - Object-Oriented Programming

$84.99

A Charter School Principals Story

$37.99

Rentenantragsverfahren

$59.99

Languages other than English in Australian Higher Education

$109.99

Text Mining with MATLAB

$119.99

Cybersecurity

$179.99

Ecology, Soils, and the Left

$109.99

Second International Visual Field Symposium, Tbingen, 19-22 September, 1976

$219.99

Computer Supported Education

$54.99

Applications of Evolutionary Computation

$109.99

Intelligent Systems and Pattern Recognition

$59.99

Deep Learning in Object Detection and Recognition

$179.99

Advances in Artificial Intelligence

$39.99

Cancer and Pregnancy

$109.99

Evangelische Theologie vor dem Staatsproblem

$59.99

Werner Heisenberg, Ordnung der Wirklichkeit

$34.99

Aging, Reproduction, and the Climacteric

$54.99

Controlling the Growth of Monetary Aggregates

$109.99

The Collapse of Exchange Rate Regimes

$84.99

Glutathione in Plant Growth, Development, and Stress Tolerance

$169.99

Mrs. McNosh: Oh My Gosh, Mrs. McNosh!

$3.71

Menschliche berreste in Sammlungen

$17.99

Balloon Kyphoplasty

$169.99

Qualitative Forschungsmethoden

$14.99

The Two Koreas and their Global Engagements

$139.99

Journal on Data Semantics XV

$39.99

N Nitrogen

$429.00

Health and Medical Aspects of Disaster Preparedness

$39.99

Temporal Dynamics of an Estuary: San Francisco Bay

$219.99

Cyber Security, Cryptology, and Machine Learning

$109.99