• DocumentCode
    1917967
  • Title

    A tax-adjusted algorithm for pricing derivative securities using the symbolic computational language MAPLE

  • Author

    Milevsky, M.A. ; Prisman, E.Z.

  • Author_Institution
    York Univ., Canada
  • fYear
    1997
  • fDate
    23-25 Mar 1997
  • Firstpage
    157
  • Lastpage
    163
  • Abstract
    This paper develops a symbolic computational pricing algorithm that locates the No-Arbitrage price of a contingent claim (derivative security) in a world with realistic income taxes. By maintaining the price of the contingent claim as a symbolic function, we can use the concept of a fixed-point theorem to locate the price of the option that will make it impossible to create after-tax arbitrage opportunities
  • Keywords
    costing; financial data processing; mathematics computing; securities trading; symbol manipulation; tax preparation; MAPLE; No-Arbitrage price; after-tax arbitrage; contingent claim; derivative securities; fixed-point theorem; income tax; symbolic computational language; symbolic computational pricing algorithm; symbolic function; tax-adjusted algorithm; Costs; Finance; Iterative methods; Pricing; Security; Tail;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence for Financial Engineering (CIFEr), 1997., Proceedings of the IEEE/IAFE 1997
  • Conference_Location
    New York City, NY
  • Print_ISBN
    0-7803-4133-3
  • Type

    conf

  • DOI
    10.1109/CIFER.1997.618929
  • Filename
    618929
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1917967