Description of Complete Guide to Options Pricing Formulas
The world of options has moved beyond the simple Black-Schooles pricing model, making more types of options available. "The Complete Guide to Option Pricing Formulas" is the first reference manual on options pricing formulas, one that every professional options trader and institutional money manager will need. Designed for the practitioner, this reference offers formulas used daily by some of the best talent on Wall Street. Complete with numerical examples and explanations, Haug's "stamp collection" of formulas is an ideal supplement for anyone working with financial options.
Contents of Complete Guide to Options 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
About Espen Gaardner Haug
Espen Gaarder Haug is a leading expert on derivatives theory and its practical implications. He has developed systems and tools for options and interest rate derivatives for the Chase Manhattan Bank Derivatives Research and Trading Group (Europe), and also worked for several years in derivatives research and trading for Chemical Bank and Dennorske Bank. Haug is a greatly appreciated lecturer on derivatives in graduate finance programs and among practitioners. Further, he has published numerous articles on options in academic journals, including the Journal of Financial Engineering.
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