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- Product code: 9233
- ISBN: 0786312408,
ISBN13: 9780786312405,
232 pages, Disk + Hb
Published by McGraw-Hill Professional, 1997
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Description of The Complete Guide to Option Pricing Formulas |
When pricing options in today's fast-action markets, experience and intuition are no longer enough. To protect your carefully planned positions, you need precise facts and tested information that has been proven time and again.
The Complete Guide to Option Pricing Formulas is the first and only authoritative reference to contain every option tool you need, all in one handy volume: Black-Scholes, two asset binomial trees, implied trinomial trees, Vasicek, exotics.
Many important option pricing formulas are accompanied by computer code to assist in their use, understanding, and implementation. This invaluable, one-of-a-kind reference work gives you:
- A complete listing of key option formulas, all delivered in an easy-to-use dictionary format
- Commentary that explains key points in the most important and useful formulas
- Valuable software and ready-to-use programming code that enhances your understanding of option pricing models and their practical implementations
- Practitioner-orientated formulas, and highlights of the latest option pricing research from major institutions worldwide
- Pricing advances on commodity options like the Miltersen and Schwartz Model, exotic options such as extreme spread options and implied trinomial trees, and much more!
Professionals who use options must have immediate access to reliable and complete option pricing formulas and information. The Complete Guide to Option Pricing Formulas, an invaluable guide for both experienced users and those learning how to use the tolls of valuation, is the first book to place all of the research and information you need at your fingertips.
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Contents of The Complete Guide to Option Pricing Formulas |
1. Plain Vanilla Options
2. Exotic Options
3. Numerical Methods in Options Pricing
4. Interest Rate Options
5. Volatility and Correlation
6. Some Useful Formulas
A. Distributions
B. Partial Derivatives of the Black-Scholes
C. The Option-Pricing Software
Bibliography
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