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Record Nr. |
UNINA9910454574303321 |
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Autore |
Jarrow Robert A |
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Titolo |
Financial derivatives pricing [[electronic resource] ] : selected works of Robert Jarrow / / Robert A. Jarrow |
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Pubbl/distr/stampa |
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Hackensack, NJ, : World Scientific, c2008 |
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ISBN |
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Descrizione fisica |
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1 online resource (608 p.) |
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Disciplina |
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Soggetti |
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Derivative securities - Prices - Mathematical models |
Derivative securities - Prices - United States |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Acknowledgments; Preface; Foreword; Contents; Part I. Option Pricing Theory and its Foundations; Introduction; References; 1. Approximate Option Valuation for Arbitrary Stochastic Processes R. Jarrow and A. Rudd; 1. Introduction; 2. Approximating distribution; 3. Approximate option valuation formula; 4. Approximating option values with the Black-8cboles formula; 5. N umerieal analysis of residual error; 6. Conclusion; Appendix 1: Proof of the generalized Edgeworth series expansion; References; 2. Arbitrage, Continuous Trading, and Margin Requirements D. Heath and R. Jarrow; I. The Model |
II. Market Constraints on Trading StrategiesIII. Option Pricing under Margin Requirements; IV. Conclusion; Appendix; REFERENCES; 3. Ex-Dividend Stock Price Behavior and Arbitrage Opportunities D. Heath and R. Jarrow; I. Introduction; II. The Model; III. Characterization of Arbitrage Opportunities at the Ex-Dividend Date; IV. Escrowed Dividend Stock Processes; V. Conclusion; Appendix; Proofs of Theorems 1 and 2; References; 4. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value P. Carr and R. Jarrow |
1. The Black-Scholes Model, Terminology, and the Stop-Loss StartGain Strategy2. Resolution of the Paradox; 3. Valuation Results; 4. Genera1izing the Stock-Price Process; 5. Conclusions; Appendix; References; 5. Alternative Characterizations of American Put Options P. |
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Carr, R. Jarrow and R. Myneni; 1. THE EARLY EXERCISE PREMIUM; 2. REPRESENTING EUROPEAN PUTS IN TERMS OF A BOUNDARY; 3. VARIOUS AMERICAN PUT REPRESENTATIONS; 4. SUMMARY AND EXTENSIONS; 5. APPENDIX; REFERENCES; 6. Market Manipulation, Bubbles, Corners, and Short Squeezes R. Jarrow; I. Introduction; II. The Model |
III. The Market StructureIV. Paper Wealth, Real Wealth, and Market Manipulation Trading Strategies; V. The Existence of Market Manipulation Trading Strategies; VI. Sufficient Conditions for the Nonexistence of Market Manipulation Trading Strategies; VII. Infinite Trading Horizon Speculators; VIII. Conclusion; Appendix; References; 7. Derivative Security Markets, Market Manipulation, and Option Pricing Theory R. Jarrow; Abstract; I. Introduction; II. The Model; III. Market Manipulation Using the Derivative Security; IV. Synchronous Markets; V. A Theory for Option Pricing; VI. Conclusion |
AppendixReferences; 8. Liquidity Risk and Arbitrage Pricing Theory U. Oetin, R. Jarrow and P. Protter; 1 Introduction; 2 The model; 2.1 Supply curve; 2.2 Trading strategies; 2.3 The marked-to-market value of a s.ft.s. and its liquidity cost; 3 The extended first fundamental theorem; 4 The extended second fundamental theorem; 5 Example (extended Black-Scholes economy); 5.1 The economy; 5.2 Call option valuation; 6 Discontinuous supply curve evolutions; 6.1 The supply curve and s.f.t.s. 's; 6.2 The extended first fundamental theorem; 6.3 The extended secondfundamental theorem; 7 Conclusion |
Appendix |
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Sommario/riassunto |
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This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics |
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