Alternative Derivatives Pricing

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Mai 2010



There are several distinctions between this book and others. The primary distinction is that we developed derivatives pricing which could not be reduced to Black-Scholes benchmark. Other distinction we do not used either expected or present value reduction standards to present equality two cash flows generated by derivative instruments. Our approach in pricing derivatives is based on the equal investment principle applied for each admissible scenario. For instance, a call option price is reflected by the underlying return for each scenario that promises price at maturity higher than its strike. The main peculiarity of this pricing is that there is no "fair' price and each spot or theoretical prices implies the risk. This market risk can be calculated based on statistical assumption regarding distribution of the derivative underlying.


Extended research and teaching in probability and financial fields. Doctorate degree, Institute of Mathematics, Kiev. Dissertation: "Stochastic Equations: Studies and Their Applications." Principal Researcher, Department of Probability and Statistics IPMM, Donetsk, Ukraine. Teaching in University of Cincinnati, Northern Kentucky University.
EAN: 9783838366050
ISBN: 3838366050
Untertitel: Formal Approach. Paperback. Sprache: Englisch.
Verlag: LAP Lambert Acad. Publ.
Erscheinungsdatum: Mai 2010
Seitenanzahl: 164 Seiten
Format: kartoniert
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