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Option Pricing Models
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Book Synopsis Advanced Option Pricing Models by : Jeffrey Owen Katz
Download or read book Advanced Option Pricing Models written by Jeffrey Owen Katz and published by McGraw Hill Professional. This book was released on 2005-03-21 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and “curve fitting,” and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.
Book Synopsis Vinzenz Bronzin's Option Pricing Models by : Wolfgang Hafner
Download or read book Vinzenz Bronzin's Option Pricing Models written by Wolfgang Hafner and published by Springer Science & Business Media. This book was released on 2009-11-18 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract. Almost like Bachelier’s now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. He derives option prices for an illustrative set of distributions, including the Normal. - This volume includes a reprint of the original German text, a translation, as well as an appreciation of Bronzin's work from various perspectives (economics, history of finance, sociology, economic history) including some details about the professional life and circumstances of the author. The book brings Bronzin's early work to light again and adds an almost forgotten piece of research to the theory of option pricing.
Book Synopsis The Complete Guide to Option Pricing Formulas by : Espen Gaarder Haug
Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.
Book Synopsis Option Pricing Models and Volatility Using Excel-VBA by : Fabrice D. Rouah
Download or read book Option Pricing Models and Volatility Using Excel-VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Book Synopsis Black Scholes and Beyond: Option Pricing Models by : Neil Chriss
Download or read book Black Scholes and Beyond: Option Pricing Models written by Neil Chriss and published by McGraw Hill Professional. This book was released on 1997 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
Book Synopsis Basic Option Volatility Strategies by : Sheldon Natenberg
Download or read book Basic Option Volatility Strategies written by Sheldon Natenberg and published by John Wiley & Sons. This book was released on 2012-09-27 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now you can learn directly from Sheldon Natenberg! In this unique multimedia course, Natenberg will explain the most popular option pricing strategies. Follow along as this trading legend walks you through the calculations and key elements of option volatility in this video, companion book, and self-test combination. Get The Full Impact Of Every Word Of This Traders' Hall Of Fame Presentation. You'll learn: Implied volatility and how it is calculated, so you can find the best positions; What assumptions are driving an options pricing model to be ahead of the trade; Proven techniques for comparing price to value to increase your number of winning trade; How you can use probability to estimate option prices to increase trading income. Spending time with a trading legend is usually a dream for most traders, but this is your opportunity to get the inside tactics of one of the most sought-after educators in options. With the personal touch of his presentation, Natenberg's educational tool gives all traders, beginner to advanced, access to the powerful insights that can bring ongoing option trading success.
Book Synopsis Valuing Early Stage and Venture-Backed Companies by : Neil J. Beaton
Download or read book Valuing Early Stage and Venture-Backed Companies written by Neil J. Beaton and published by John Wiley & Sons. This book was released on 2010-03-29 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuing Early Stage and Venture-Backed Companies Unique in the overall sphere of business valuation, the valuing of early stage and venture-backed companies lacks the traditional metrics of cash flow, earnings, or even revenue at times. But without these metrics, traditional discounted cash flow models and comparison to public markets or private transactions take on less relevance, calling for a more "experiential" valuation approach. In a straightforward, no-nonsense manner, the mystique surrounding the valuation of early stage and venture-backed companies is now unveiled. With an emphasis on applications and models, Valuing Early Stage and Venture-Backed Companies shows the most effective way for your company to prepare and present its valuations. Featuring contributed chapters by a panel of top valuation experts, this book dispels improper valuation techniques promulgated by unknowing business appraisers and answers your key questions about valuation theory and which tools you need to successfully apply in your specific situation. Here, you'll find out more about various valuation techniques, including: "Back solving" valuation Modified cost approach Option pricing model Probability-weighted expected returns model Asian puts New data on discounts for lack of marketability Detailed and hands-on, Valuing Early Stage and Venture-Backed Companies equips you with broad foundational data on the venture capital industry, as well as in-depth analyses of distinct early stage company valuation approaches. Performing valuations for your early stage company requires an understanding of the special circumstances faced by your organization. With ample examples of generally accepted allocation models with complex capital structures common to early stage companies, Valuing Early Stage and Venture-Backed Companies mixes real-life experience with deep technical expertise to equip you with the complete, user-friendly resource you'll turn to often in valuing your early stage or venture-backed company.
Book Synopsis Option Pricing and Estimation of Financial Models with R by : Stefano M. Iacus
Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
Book Synopsis Mathematical Modeling and Methods of Option Pricing by : Lishang Jiang
Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.
Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Book Synopsis Option Volatility & Pricing: Advanced Trading Strategies and Techniques by : Sheldon Natenberg
Download or read book Option Volatility & Pricing: Advanced Trading Strategies and Techniques written by Sheldon Natenberg and published by McGraw Hill Professional. This book was released on 1994-08 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a thorough discussion of volatility, the most important aspect of options trading. Shows how to identify mispriced options and to construct volatility and "delta neutral" spreads.
Download or read book Option Pricing written by Paul Wilmott and published by . This book was released on 1993 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: Análisis de los diferentes modelos matemáticos aplicados a los precios de opción. Se estudian además los elementos matemáticos básicos necesarios para el análisis de la ecuación Black-Scholes.
Book Synopsis Option Pricing in Incomplete Markets by : Yoshio Miyahara
Download or read book Option Pricing in Incomplete Markets written by Yoshio Miyahara and published by World Scientific. This book was released on 2012 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem
Book Synopsis Stochastic Finance by : Nicolas Privault
Download or read book Stochastic Finance written by Nicolas Privault and published by CRC Press. This book was released on 2013-12-20 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.
Book Synopsis Introduction to Option Pricing Theory by : Gopinath Kallianpur
Download or read book Introduction to Option Pricing Theory written by Gopinath Kallianpur and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.
Book Synopsis The Black-Scholes Model by : Marek Capiński
Download or read book The Black-Scholes Model written by Marek Capiński and published by Cambridge University Press. This book was released on 2012-09-13 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
Book Synopsis Analysis, Geometry, and Modeling in Finance by : Pierre Henry-Labordere
Download or read book Analysis, Geometry, and Modeling in Finance written by Pierre Henry-Labordere and published by CRC Press. This book was released on 2008-09-22 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th
