Derivatives And Path-Dependent Derivatives: Extensions And Generalizations Of The Lattice Approach By Accounting For Information Costs And Illiquidity

The following sections are included:Chapter OutlineIntroductionThe Standard Lattice Approach for Equity Options: The Standard AnalysisThe model for options on a spot asset with any pay outsThe model for futures optionsThe model with dividendsA known dividend yieldA known proportional dividend yieldA known discrete dividendExamplesThe European put price with dividendsThe American put price with dividendsA Simple Extension to Account for Information Uncertainty in the Valuation of Futures and OptionsOn the valuation of derivatives and information costsThe valuation of forward and futures contracts in the presence of information costsForward, futures, and arbitrageThe valuation of forward contracts in the absence of distributions to the underlying assetThe valuation of forward contracts in the presence of a known cash income to the underlying assetThe valuation of forward contracts in the presence of a known dividend yield to the underlying assetThe valuation of stock index futuresThe valuation of Forward and futures contracts on currenciesThe valuation of futures contracts on silver and goldThe valuation of Futures on other commoditiesArbitrage and information costs in the lattice approachThe binomial model for options in the presence of a continuous dividend stream and information costsThe binomial model for options in the presence of a known dividend yield and information costsThe binomial model for options in the presence of a discrete dividend stream and information costsThe binomial model for futures options in the presence of information costsThe lattice approach for American options with information costs and several cash distributionsThe modelThe Binomial Model and the Risk Neutrality: Some Important DetailsThe binomial parameters and risk neutralityThe convergence argumentThe Hull and White Trinomial Model for Interest Rate OptionsPricing Path-Dependent Interest Rate Contingent Claims Using a LatticeThe frameworkValuation of the path-dependent securityFixed-coupon rate securityFloating-coupon securityOptions on path-dependent securitiesShort-dated optionsLong-dated optionsSummaryQuestionsReferences