Johnson Binomial Tree
In finance, a lattice model is a technique applied to the valuation of derivatives, where a discrete time model is required. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at "all" times (any time) before and including maturity. A continuous model, on the other hand, such as Black–Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par. The method is also used for valuing certain exotic options, where because of path dependence in the payoff, Monte Carlo methods for option pricing fail to account for optimal decisions to terminate the derivative by early exercise, though methods now exist for solving this problem. Equity and commodity derivatives In general the approach is to divid ...
[...More Info...]       [...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  

Arbre Binomial Options Reelles
Arbre may refer to: * Arbre, Ath, a commune in Ath, Belgium * , a village in Profondeville, Belgium * Arbre, a planet in ''Anathem'' by Neal Stephenson See also * ' or liberty trees, a symbol of the French Revolution * Arbre du Ténéré, once considered the most isolated tree on Earth * Arbre Magique, a line of disposable air fresheners * ''L'arbre de ciència'' or ''Tree of Science'', a 1295 encyclopedia by Ramon Llull * , a 1996 song written by Philippe Tatartcheff and Anna McGarrigle Anna McGarrigle, CM (born December 4, 1944) is a Canadian folk music singer and songwriter who recorded and performed with her sister, Kate McGarrigle, who died in 2010. Early life Anna McGarrigle studied at the École des beaux-arts de Montré ...

Expectation Value
In probability theory, the expected value (also called expectation, expectancy, mathematical expectation, mean, average, or first moment) is a generalization of the weighted average. Informally, the expected value is the arithmetic mean of a large number of independently selected outcomes of a random variable. The expected value of a random variable with a finite number of outcomes is a weighted average of all possible outcomes. In the case of a continuum of possible outcomes, the expectation is defined by integration. In the axiomatic foundation for probability provided by measure theory, the expectation is given by Lebesgue integration. The expected value of a random variable is often denoted by , , or , with also often stylized as or \mathbb. History The idea of the expected value originated in the middle of the 17th century from the study of the so-called problem of points, which seeks to divide the stakes ''in a fair way'' between two players, who have to end t ...
[...More Info...]       [...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  

Barrier Options
A barrier or barricade is a physical structure which blocks or impedes something. Barrier may also refer to: Places * Barrier, Kentucky, a community in the United States * Barrier, Voerendaal, a place in the municipality of Voerendaal, Netherlands * Barrier Bay, an open bay in Antarctica * Barrier Canyon, the former name of Horseshoe Canyon (Utah) * Barrier Lake, Alberta, Canada * Barrier Mountain, the former name of Mount Baldy (Alberta) * Barrier Ranges, a mountain range in New South Wales, Australia * Division of Barrier, a former Australian Electoral Division in New South Wales * The Barrier, a lava dam in British Columbia, Canada * The Barrier (Kenya), an active shield volcano in Kenya * The Barrier, a common synonym for the city of Broken Hill, New South Wales * The Barrier, an early name for the Ross Ice Shelf, Antarctica In arts and entertainment Film * ''The Barrier'' (1917 film), a lost 1917 American silent drama film * ''The Barrier'' (1926 film), a silent film ...
[...More Info...]       [...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  

Exotic Options
In finance, an exotic option is an option which has features making it more complex than commonly traded vanilla options. Like the more general exotic derivatives they may have several triggers relating to determination of payoff. An exotic option may also include a non-standard underlying instrument, developed for a particular client or for a particular market. Exotic options are more complex than options that trade on an exchange, and are generally traded over-the-counter. Etymology The term "exotic option" was popularized by Mark Rubinstein's 1990 working paper (published 1992, with Eric Reiner) "Exotic Options", with the term based either on exotic wagers in horse racing, or due to the use of international terms such as "Asian option", suggesting the "exotic Orient". Journalist Brian Palmer used the "successful $1 bet on the superfecta" in the 2010 Kentucky Derby that "paid a whopping $101,284.60" as an example of the controversial high-risk, high-payout exotic bets that ...
[...More Info...]       [...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  

Employee Stock Option
Employee stock options (ESO) is a label that refers to compensation contracts between an employer and an employee that carries some characteristics of financial options. Employee stock options are commonly viewed as an internal agreement providing the possibility to participate in the share capital of a company, granted by the company to an employee as part of the employee's remuneration package. Regulators and economists have since specified that ESOs are compensation contracts. These nonstandard contracts exist between employee and employer, whereby the employer has the liability of delivering a certain number of shares of the employer stock, when and if the employee stock options are exercised by the employee. The contract length varies, and often carries terms that may change depending on the employer and the current employment status of the employee. In the United States, the terms are detailed within an employer's "Stock Option Agreement for Incentive Equity Plan". Esse ...
[...More Info...]       [...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  

Real Options Valuation
Real options valuation, also often termed real options analysis,Adam Borison ( Stanford University)''Real Options Analysis: Where are the Emperor's Clothes?'' (ROV or ROA) applies option valuation techniques to capital budgeting decisions.Campbell, R. Harvey''Identifying real options'' Duke University, 2002. A real option itself, is the right—but not the obligation—to undertake certain business initiatives, such as deferring, abandoning, expanding, staging, or contracting a capital investment project. For example, real options valuation could examine the opportunity to invest in the expansion of a firm's factory and the alternative option to sell the factory.Nijssen, E. (2014) Routelegde, 2014. Real options are g