Foreign exchange option symmetry / Valery A. Kholodnyi, John F. Price.

Format:

Book

Author/Creator:

Kholodnyĭ, Valery A., 1964-

Contributor:

Price, John F.

Language:

English

Subjects (All):

Foreign exchange market.

Derivative securities.

Financial futures.

Symmetry groups.

Physical Description:

1 online resource (155 p.)

Place of Publication:

Singapore ; River Edge, NJ : World Scientific, c1998.

Language Note:

English

Summary:

This book studies the actual financial phenomena underlying the evaluation of financial derivatives, which is today virtually identified with and even replaced by the study of the mathematical aspects of stochastic calculus as a model for such phenomena. It adopts the view that the study of financial phenomena is on the brink of a revolution similar to that of quantum physics in the 1920s. History has shown that virtually all the major revolutions in physics were made through recognizing the presence of an inherent symmetry in underlying phenomena.In this volume, a fundamental symmetry in a fo

Contents:

Preface; Contents; List of Figures; Chapter 1 Introduction; Part I Financial Matters; Chapter 2 Market Environment; 2.1 The Framework of a Market Environment; 2.2 The Binomial Market Environment; 2.3 The Black and Scholes Market Environment; 2.4 Relationship Between the Binomial and Black and Scholes Market Environments; Chapter 3 Symmetry in a Foreign Exchange Market; 3.1 The Kelvin Transform; 3.2 Symmetry for European Options; 3.3 The Intervention Condition; 3.4 Symmetry for Bermudan Options; 3.5 Symmetry for American Options; Chapter 4 Further Symmetries; 4.1 Symmetry for Barrier Options

4.2 Symmetry for Greek Letters4.3 Symmetry in the Exchange-Rate Homogeneous Market Environment; Chapter 5 Options with Consistently Smoothed Payoffs; 5.1 The Importance of Smooth Payoffs; 5.2 The Continuous Strike Range Call and Put Options; 5.3 The Continuous Strike Range Call and Put Options and the Symmetry; 5.4 The Consistently Smoothed Call and Put Payoffs and the Symmetry; 5.5 Symmetry for Options with the Consistently Smoothed Call and Put Payoffs; Chapter 6 Applications; 6.1 Detecting Arbitrage; 6.2 Selecting a Financially Equivalent Portfolio

6.3 Detecting Inconsistent Option Pricing Models6.4 Instant Valuation of Foreign Counterparts; 6.5 Instant Evaluation of Greek Letters; 6.6 Approximation Schemes; 6.7 Reduced Cost of Software Development; 6.8 Guiding the Choice of Options with Improved Hedging Features; 6.9 Validity of the Symmetry in any Financial Market; Part II: Mathematical Matters; Chapter 7 Validity of the Symmetry Relationships for European Options; 7.1 Direct Proof of the Symmetry Relationships for European Call and Put Options; 7.2 European Options: General Case; 7.3 European Call and Put Options

7.4 Symmetry in the Binomial Market Environment7.5 Symmetry in the Black and Scholes Market Environment; Chapter 8 Validity of the Symmetry Relationships for Bermudan and American Options; 8.1 Bermudan Options: General Case; 8.2 Bermudan Call and Put Options; 8.3 Bermudan Options in the Restricted Binomial Market Environment; 8.4 American Options: General Case; 8.5 American Call and Put Options; 8.6 The Semilinear Evolution Equation for American Options; 8.7 Approximation of American Options by Bermudan Options; 8.8 Symmetry at all Levels of Approximation

Chapter 9 Validity of the Symmetry Relationships for Barrier Options9.1 Barrier Options: General Case; 9.2 Barrier Call and Put Options; Chapter 10 Validity of the Symmetry Relationships for Options with Consistently Smoothed Payoffs; 10.1 The Consistently Smoothed Call and Put Payoffs; 10.2 Options with the Consistently Smoothed Call and Put Payoffs; Bibliography; Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. 127-129) and index.

ISBN:

9789812816573

9812816577