Titlebook: Statistics of Financial Markets; An Introduction Jürgen Franke,Wolfgang Karl Härdle,Christian Matth Textbook 20154th edition Springer-Verla

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Binomial Model for European Optionsexample being the American option. One therefore has to rely on numerical price computation. The best known method for this is to approximate the stock price process by a discrete time stochastic process, or, as in the approach followed by Cox, Ross, Rubinstein, model the stock price process as a di

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American Optionsoses to exercise option depends on the spot price of the underlying asset ... In this sense the exercising time is a random variable itself. The Black–Scholes differential equation continues to hold as long as the options are not exercised. However, the boundary conditions are so complicated that an

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Interest Rates and Interest Rate Derivativesular especially among large institutional investors. Thus, the valuation of these instruments has been a major challenge of both practitioners and academics. Pricing interest rate derivatives fundamentally depends on the term structure of interest rates.

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Time Series with Stochastic Volatilityterm structure, volatility is unobservable and thus must be estimated from the data. >Reliable estimations and forecasts of volatility are important for large credit institutes where volatility is directly used to measure risk. The risk premium, for example, is often specified as a function of volat

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