By Cheng-Few Lee
This study annual e-book intends to assemble funding research and portfolio conception and their implementation to portfolio administration. It seeks theoretical and empirical examine manuscripts with top of the range within the region of funding and portfolio research. The contents will include unique examine on: the rules of portfolio administration of equities and fixed-income securities. The evaluate of portfolios (or mutual cash) of universal shares, bonds, foreign resources, and strategies. The dynamic strategy of portfolio administration. thoughts of overseas investments and portfolio administration. The functions of necessary and critical analytical options akin to arithmetic, econometrics, records, and desktops within the box of funding and portfolio administration. Theoretical examine concerning suggestions and futures. additionally, it additionally comprises articles that current and look at new and demanding accounting, monetary, and monetary facts for handling and comparing portfolios of dicy resources.
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Additional info for Advances in investment analysis and portfolio management. / Volume 8
First, the path function has to be Markov. Second, the number for F(t, S) must not grow too fast with the size of the tree. We let the kth value of F at node (i, j) as Fi,j,k and deﬁne the corresponding option value as vi,j,k. The option value at maturity date, vn,j,k is known for all j and k. To compute its value at node (i, j) where i < n, we illustrate that the asset price has a probability Pu of moving up to the node (i + 1, j + 2), a probability Pm of moving to the node (i + 1, j + 1), and a probability Pd of moving down to the node (i + 1, j).
12. 12 at node A resulted in ku = 2, km = 1 and kd = 1. 31) in this case, early exercise is optimal. Hence, the option value equals 26 CHUANG-CHANG CHANG AND SAN-LIN CHUNG Fig. 2. Pricing European and American Lookback Options Using Trinomial Method. 79. 87. It is difﬁcult to calculate the American lookback option values with continuous observation frequency since the convergence of numerical methods for pricing these options is very slow as pointed out by Cheuk and Vorst (1997). Hence it is worth ﬁnding a way for approximating the American option contracts with continuous observation frequency.
The discounting backward is performed only in the region below the knock-in boundary. At each node a decision of whether to exercise or not is made in the usual way. For details of this procedure, we refer the reader to Chriss (1997). However, the above procedure can not be applied to price discretely observed American knock-in put option because the price of the American knock-in put on the knock-in boundary is not equal to the price of the American put for the non-observed time points. In contrast, since path function is recorded in our method, it is very ﬂexible to price discretely observed American-style complex (such as timevarying) barrier options.
Advances in investment analysis and portfolio management. / Volume 8 by Cheng-Few Lee