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Author : Rajna Gibson
Publisher : McGraw-Hill Companies
ISBN 13 : 9780070234475
Total Pages : 304 pages
Book Rating : 4.2/5 (344 download)
Download or read book Option Valuation written by Rajna Gibson and published by McGraw-Hill Companies. This book was released on 1991-01 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Leonard Neff
Publisher :
ISBN 13 :
Total Pages : 220 pages
Book Rating : 4.:/5 (31 download)
Download or read book An Accuracy and Efficiency Study of the Black Option Pricing Model written by David Leonard Neff and published by . This book was released on 1986 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert T. Daigler
Publisher : McGraw Hill Professional
ISBN 13 : 9781557385529
Total Pages : 356 pages
Book Rating : 4.3/5 (855 download)
Download or read book Advanced Options Trading written by Robert T. Daigler and published by McGraw Hill Professional. This book was released on 1994 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book thoroughly explains the options markets. Moreover, the work contains several unique features, including computer codes to calculate changes in options properties and a historic evaluation of options strategies and pricing theories. As a result, traders learn what works and what doesn't wor
Author : Menachem Brenner
Publisher : Free Press
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.:/5 (321 download)
Download or read book Option Pricing written by Menachem Brenner and published by Free Press. This book was released on 1983 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neil Chriss
Publisher : McGraw-Hill
ISBN 13 :
Total Pages : 512 pages
Book Rating : 4.3/5 (91 download)
Download or read book Black Scholes and Beyond: Option Pricing Models written by Neil Chriss and published by McGraw-Hill. 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.
Author : Jeffrey Owen Katz
Publisher : McGraw Hill Professional
ISBN 13 :
Total Pages : 456 pages
Book Rating : 4.3/5 ( download)
Download or read book Advanced Option Pricing Models written by Jeffrey Owen Katz and published by McGraw Hill Professional. This book was released on 2005-02-04 with total page 456 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.
Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1118429206
Total Pages : 456 pages
Book Rating : 4.1/5 (184 download)
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
Author : Michael Weber
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)
Download or read book American Option Valuation written by Michael Weber and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.
Author : Peter Carr
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)
Download or read book Analyzing Volatility Risk and Risk Premium in Option Contracts written by Peter Carr and published by . This book was released on 2017 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a new option pricing framework that tightly integrates with how institutional investors manage options positions. The framework starts with the near-term dynamics of the implied volatility surface and derives no-arbitrage constraints on its current shape. Within this framework, we show that just like option implied volatilities, realized and expected volatilities can also be constructed specific to, and different across, option contracts. Applying the new theory to the S&P 500 index time series and options data, we extract volatility risk and risk premium from the volatility surfaces, and find that the extracted risk premium significantly predicts future stock returns.
Author : Robert A. Jarrow
Publisher : McGraw-Hill/Irwin
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.F/5 ( download)
Download or read book Option Pricing written by Robert A. Jarrow and published by McGraw-Hill/Irwin. This book was released on 1983 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lishang Jiang
Publisher : World Scientific Publishing Company
ISBN 13 : 9813106557
Total Pages : 343 pages
Book Rating : 4.8/5 (131 download)
Download or read book Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and published by World Scientific Publishing Company. This book was released on 2005-07-18 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to 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. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Author : James A. DiLellio
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.3/5 (77 download)
Download or read book Real Option Modeling and Valuation written by James A. DiLellio and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The application of option pricing methods, which were initially developed for financially-traded assets, are now often applied to the valuation of options on real assets. Real options, or options on real assets, supplements standard discounted cash flow valuation approaches by including the value of managerial flexibility. Real Option Modeling and Valuation attempts to bridge the gap between theory and practice using the commercially available software program DPL© (Decision Programming Language) and Excel® to provide a decision tree approach to valuation using real options.."-- Back cover.
Author : Bhojnarine Rambharat
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book American Option Valuation with Particle Filters written by Bhojnarine Rambharat and published by . This book was released on 2013 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: A method to price American-style option contracts in a limited information framework is introduced. The pricing methodology is based on sequential Monte Carlo techniques, as presented in Doucet, de Freitas, and Gordon's text "Sequential Monte Carlo Methods in Practice", and the least-squares Monte Carlo approach of Longstaff and Schwartz [The Review of Financial Studies, 14 (2001), 113-147]. We apply this methodology using a risk-neutralized version of the square-root mean-reverting model, as used for European option valuation by Heston [The Review of Financial Studies, 6 (1993), 327-343]. We assume that volatility is a latent stochastic process, and we capture information about it using particle filter based "summary vectors." These summaries are used in the exercise/hold decision at each time step in the option contract period. We also benchmark our pricing approximation against the full-state (observable volatility) result. Moreover, posterior inference, utilizing market-observed American put option prices on the NYSE Arca Oil Index, is made on the volatility risk premium, which we assume is a constant parameter. Comparisons on the volatility risk premium are also made in terms of time and observability effects, and statistically significant differences are reported.
Author : Graeme Guthrie
Publisher : Oxford University Press
ISBN 13 : 019993908X
Total Pages : 432 pages
Book Rating : 4.1/5 (999 download)
Download or read book Real Options in Theory and Practice written by Graeme Guthrie and published by Oxford University Press. This book was released on 2009-07-16 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision-makers in business and economics face a staggering array of problems. For example, managers of growing firms have to decide when to expand their business, governments have to decide whether to undertake large infrastructure investments, and managers of oil firms must decide how rapidly to deplete their reserves. While these problems seem quite diverse, they all share many important features. In each case, the decision-maker must choose when to take a particular action that will be potentially impossible to reverse, and the consequences of taking (or not taking) that action are uncertain. Also, the timing and nature of these actions directly affect the cash flows generated by the entities they manage. This book explains how techniques originally developed to price financial derivatives can be used to analyze real-world decisions, and provides the tools necessary to put them into practice. The real options analysis approach to decision-making is built on strong theoretical foundations, and is widely discussed in practitioner literature, but often only at a fairly intuitive level. What practitioners need-and what this book delivers-is a structured approach to systematically applying real options analysis to the wide variety of problems they will meet in business and economics. Real Options in Theory and Practice focuses on building up a general approach to solving real options problems from the ground up. Rather than aiming to build a "black box" to solve a small set of standardized real options problems, it describes the building blocks of any successful real options analysis and shows how they can be assembled in a way that is appropriate to the problem being analyzed. For both practitioners and academics, Real Options in Theory and Practice will serve as an authoritative and invaluable resource for those looking for effective and practical solutions to complex, real-life problems.
Author : James DiLellio
Publisher :
ISBN 13 : 9781521238592
Total Pages : 136 pages
Book Rating : 4.2/5 (385 download)
Download or read book Real Option Modeling and Valuation written by James DiLellio and published by . This book was released on 2018-02-08 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: The application of option pricing methods, which were initially developed for financially-tradedassets, are now often applied to the valuation of options on real assets. Real options, or optionson real assets, supplements standard discounted cash flow valuation approaches by including thevalue of managerial flexibility. Real Option Modeling and Valuation attempts to bridge the gapbetween theory and practice using the commercially available software program DPL© (DecisionProgramming Language) and Excel® to provide a decision tree approach to valuation using realoptions.
Author : Wolfgang Hafner
Publisher : Springer Science & Business Media
ISBN 13 : 3540857117
Total Pages : 553 pages
Book Rating : 4.5/5 (48 download)
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.
Author : Cornelis A. Los
Publisher : World Scientific
ISBN 13 : 9789810244972
Total Pages : 344 pages
Book Rating : 4.2/5 (449 download)
Download or read book Computational Finance written by Cornelis A. Los and published by World Scientific. This book was released on 2001 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance deals with the mathematics of computer programs that realize financial models or systems. This book outlines the epistemic risks associated with the current valuations of different financial instruments and discusses the corresponding risk management strategies. It covers most of the research and practical areas in computational finance. Starting from traditional fundamental analysis and using algebraic and geometric tools, it is guided by the logic of science to explore information from financial data without prejudice. In fact, this book has the unique feature that it is structured around the simple requirement of objective science: the geometric structure of the data = the information contained in the data.
