By Cheng-Few Lee
This examine annual book intends to compile funding research and portfolio conception and their implementation to portfolio administration. It seeks theoretical and empirical examine manuscripts with prime quality within the sector of funding and portfolio research. The contents will encompass unique examine on: the rules of portfolio administration of equities and fixed-income securities. The overview of portfolios (or mutual money) of universal shares, bonds, overseas resources, and recommendations. The dynamic technique of portfolio administration. options of overseas investments and portfolio administration. The purposes of precious and significant analytical thoughts equivalent to arithmetic, econometrics, facts, and pcs within the box of funding and portfolio administration. Theoretical examine regarding thoughts and futures. additionally, it additionally comprises articles that current and look at new and critical accounting, monetary, and financial info for handling and comparing portfolios of dicy resources.
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Extra info for Advances in Investment Analysis and Portfolio Management, Volume 8, Volume 8
First, we constructed a trinomial model to price lookback options by extending the Hull and White (1993) binomial model. We also investigated the properties of the behavior in the difference between American and European lookback option values. Second, we incorporated the idea of path function, proposed by Hull and White (1993) with the trinomial tree approach developed by Ritchken (1995) to construct an efﬁcient procedure which is able to value both European and American barrier options (especially for discretely observed options).
The reason for this is as follows. Before touching the barrier, both options are not in and thus have the same value. Once the barrier is reached, they become the standard European and American call options respectively. As Merton (1973) had shown, both options must have the same value if the underlying asset pays no dividend. The same argument can be applied to the up-and-in call options. For down-and-out call options, the European and American-styles have the same value if the strike price is larger than or equal to the barrier.
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). We suppose that the kth value of F at node (i, j ) moves to the kuth value of F at node (i + 1, j + 2) when there is an up movement in the asset price, and to the kmth value of F at node (i + 1, j + 1) when there is no change in the asset price, and to the kdth value of F at node (i + 1, j) when there is down movement in the asset price.
Advances in Investment Analysis and Portfolio Management, Volume 8, Volume 8 by Cheng-Few Lee