1 resultado para Fair value measurement
em Brock University, Canada
Filtro por publicador
- Academic Archive On-line (Jönköping University; Sweden) (1)
- Academic Research Repository at Institute of Developing Economies (2)
- Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (1)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (3)
- Aquatic Commons (3)
- ArchiMeD - Elektronische Publikationen der Universität Mainz - Alemanha (8)
- Archimer: Archive de l'Institut francais de recherche pour l'exploitation de la mer (1)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (4)
- Aston University Research Archive (27)
- Biblioteca de Teses e Dissertações da USP (3)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (6)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (5)
- Biblioteca Digital de la Universidad Católica Argentina (1)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (2)
- Bioline International (1)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (22)
- Brock University, Canada (1)
- Bucknell University Digital Commons - Pensilvania - USA (1)
- CaltechTHESIS (5)
- Cámara de Comercio de Bogotá, Colombia (1)
- Cambridge University Engineering Department Publications Database (5)
- CentAUR: Central Archive University of Reading - UK (12)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (16)
- Cochin University of Science & Technology (CUSAT), India (6)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (3)
- CORA - Cork Open Research Archive - University College Cork - Ireland (1)
- Corvinus Research Archive - The institutional repository for the Corvinus University of Budapest (3)
- Dalarna University College Electronic Archive (2)
- Deakin Research Online - Australia (28)
- DI-fusion - The institutional repository of Université Libre de Bruxelles (1)
- Digital Commons - Michigan Tech (1)
- Digital Commons - Montana Tech (1)
- Digital Commons at Florida International University (3)
- Digital Repository at Iowa State University (1)
- DigitalCommons@The Texas Medical Center (5)
- Doria (National Library of Finland DSpace Services) - National Library of Finland, Finland (2)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (3)
- Greenwich Academic Literature Archive - UK (1)
- Helda - Digital Repository of University of Helsinki (11)
- Indian Institute of Science - Bangalore - Índia (21)
- Institutional Repository of Leibniz University Hannover (1)
- Instituto Politécnico do Porto, Portugal (6)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (1)
- Publishing Network for Geoscientific & Environmental Data (1)
- QSpace: Queen's University - Canada (2)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (13)
- Queensland University of Technology - ePrints Archive (611)
- RDBU - Repositório Digital da Biblioteca da Unisinos (1)
- Repositório Científico da Universidade de Évora - Portugal (1)
- Repositório Científico do Instituto Politécnico de Lisboa - Portugal (2)
- Repositorio de la Universidad de Cuenca (1)
- Repositório digital da Fundação Getúlio Vargas - FGV (9)
- Repositório Institucional da Universidade de Brasília (1)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (35)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (2)
- SAPIENTIA - Universidade do Algarve - Portugal (2)
- Scielo España (1)
- Universidad del Rosario, Colombia (2)
- Universidad Politécnica de Madrid (10)
- Universidade Técnica de Lisboa (1)
- Universitat de Girona, Spain (1)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (1)
- Université de Lausanne, Switzerland (1)
- Université de Montréal, Canada (5)
- University of Canberra Research Repository - Australia (1)
- University of Connecticut - USA (1)
- University of Michigan (4)
- University of Queensland eSpace - Australia (3)
- WestminsterResearch - UK (1)
Resumo:
The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.