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Three Essays On Option Pricing Theory And Applications
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Book Synopsis Three Essays on Option Pricing Theory and Applications by : Ramesh K. S. Rao
Download or read book Three Essays on Option Pricing Theory and Applications written by Ramesh K. S. Rao and published by . This book was released on 1980 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Option Pricing Theory and Applications by : Ramesh K. Rao
Download or read book Three Essays on Option Pricing Theory and Applications written by Ramesh K. Rao and published by . This book was released on 1986 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in the Use of Option Pricing Theory by : Jeremy Joseph Evnine
Download or read book Three Essays in the Use of Option Pricing Theory written by Jeremy Joseph Evnine and published by . This book was released on 1988 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Option Pricing by : Horatio Cuesdeanu
Download or read book Three Essays on Option Pricing written by Horatio Cuesdeanu and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in the Use of Option Pricing Theory by : Jeremy Joseph Evnine
Download or read book Three Essays in the Use of Option Pricing Theory written by Jeremy Joseph Evnine and published by . This book was released on 1983 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Four Essays in the Application of Option Pricing Theory by : Anand Mohan Vijh
Download or read book Four Essays in the Application of Option Pricing Theory written by Anand Mohan Vijh and published by . This book was released on 1987 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing by : Menachem Brenner
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:
Book Synopsis Three Essays in Asset Pricing Theory by : Lionel Martellini
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2000 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Buprestidae, I written by and published by . This book was released on 1926 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Basic Black-Scholes: Option Pricing and Trading by : Timothy Falcon Crack
Download or read book Basic Black-Scholes: Option Pricing and Trading written by Timothy Falcon Crack and published by Timothy Crack. This book was released on 2022-08 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: [Note: eBook now available; see Amazon author page for details.] Dr. Crack studied PhD-level option pricing at MIT and Harvard Business School, taught undergrad and MBA option pricing at Indiana University (winning many teaching awards), was an independent consultant to the New York Stock Exchange, worked as an asset management practitioner in London, and has traded options for 20+ years. This unique mix of learning, teaching, consulting, practice, and trading is reflected in every page. This revised 6th edition gives clear explanations of Black-Scholes option pricing theory, and discusses direct applications of the theory to trading. The presentation does not go far beyond basic Black-Scholes for three reasons: First, a novice need not go far beyond Black-Scholes to make money in the options markets; Second, all high-level option pricing theory is simply an extension of Black-Scholes; and Third, there already exist many books that look far beyond Black-Scholes without first laying the firm foundation given here. The trading advice does not go far beyond elementary call and put positions because more complex trades are simply combinations of these. UNIQUE SELLING POINTS -The basic intuition you need to trade options for the first time, or interview for an options job. -Honest advice about trading: there is no simple way to beat the markets, but if you have skill this advice can help make you money, and if you have no skill but still choose to trade, this advice can reduce your losses. -Full immersion treatment of transactions costs (T-costs). -Lessons from trading stated in simple terms. -Stylized facts about the markets (e.g., how to profit from reversals, when are T-costs highest/lowest during the trading day, implications of the market for corporate control, etc.). -How to apply European-style Black-Scholes pricing to the trading of American-style options. -Leverage through margin trading compared to leverage through options, including worked spreadsheet examples. -Black-Scholes pricing code for HP17B, HP19B, and HP12C. -Five accompanying Excel sheets: forecast T-costs for options using simple models; explore option sensitivities including the Greeks; compare stock trading to option trading; GameStop example; and, explore P(ever ITM). -Practitioner Bloomberg Terminal screenshots to aid learning. -Simple discussion of continuously-compounded returns. -Introduction to "paratrading" (trading stocks side-by-side with options). -Unique "regrets" treatment of early exercise decisions and trade-offs for American-style calls and puts. -Unique discussion of put-call parity and option pricing. -How to calculate Black-Scholes in your head in 10 seconds (also in Heard on The Street: Quantitative Questions from Wall Street Job Interviews). -Special attention to arithmetic Brownian motion with general pricing formulae and comparisons of Bachelier (1900) with Black-Scholes. -Careful attention to the impact of dividends in analytical American option pricing. -Dimensional analysis and the adequation formula (relating FX call and FX put prices through transformed Black-Scholes formulae). -Intuitive review of risk-neutral pricing/probabilities and how and why these are related to physical pricing/probabilities. -Careful distinction between the early Merton (non-risk-neutral) hedging-type argument and later Cox-Ross/Harrison-Kreps risk-neutral pricing -Simple discussion of Monte-Carlo methods in science and option pricing. -Simple interpretations of the Black-Scholes formula and PDE and implications for trading. -Careful discussion of conditional probabilities as they relate to Black-Scholes. -Intuitive treatment of high-level topics e.g., bond-numeraire interpretation of Black-Scholes (where N(d2) is P(ITM)) versus the stock-numeraire interpretation (where N(d1) is P(ITM)). -Introduction and discussion of the risk-neutral probability that a European-style call or put option is ever in the money during its life.
Book Synopsis Essays on the Econometrics of Option Pricing by : Evgenii Vladimirov (Ph. D.)
Download or read book Essays on the Econometrics of Option Pricing written by Evgenii Vladimirov (Ph. D.) and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation is a collection of three essays that delve into the econometrics of option pricing. The primary objective of these essays is to develop and deploy diverse econometric techniques that enable the accurate extraction of valuable information embedded in option prices. Chapter 2 investigates jump contagion between international stock markets using options data. It introduces a multivariate option pricing model that assesses the contagious effects of market shocks. Chapter 3 tackles the challenge of estimating continuous-time option pricing models. It proposes a new filtering and estimation method for affine jump-diffusion models, enhancing computational efficiency and implementation ease. Finally, Chapter 4 develops a unified framework for non-parametric estimation of risk-neutral densities, option prices, and option sensitivities."--
Book Synopsis Basic Black-Scholes by : Timothy Falcon Crack
Download or read book Basic Black-Scholes written by Timothy Falcon Crack and published by . This book was released on 2021-04 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: [Note: eBook now available; see Amazon author page for details.] THE AUTHOR: Dr. Crack studied PhD-level option pricing at MIT and Harvard Business School, taught undergrad and MBA option pricing at Indiana University (winning many teaching awards), was an independent consultant to the New York Stock Exchange, worked as an asset management practitioner in London, and has traded options for over 20 years. This unique mix of learning, teaching, consulting, practice, and trading is reflected in every page. This revised 5th edition gives clear explanations of Black-Scholes option pricing theory, and discusses direct applications of the theory to trading. The presentation does not go far beyond basic Black-Scholes for three reasons: First, a novice need not go far beyond Black-Scholes to make money in the options markets; Second, all high-level option pricing theory is simply an extension of Black-Scholes; and Third, there already exist many books that look far beyond Black-Scholes without first laying the firm foundation given here. The trading advice does not go far beyond elementary call and put positions because more complex trades are simply combinations of these. UNIQUE SELLING POINTS -The basic intuition you need to trade options for the first time, or interview for an options job. -Honest advice about trading: there is no simple way to beat the markets, but if you have skill this advice can help make you money, and if you have no skill but still choose to trade, this advice can reduce your losses. -Full immersion treatment of transactions costs (T-costs). -Lessons from trading stated in simple terms. -Stylized facts about the markets (e.g., how to profit from reversals, when are T-costs highest/lowest during the trading day, implications of the market for corporate control, etc.). -How to apply European-style Black-Scholes pricing to the trading of American-style options. -Leverage through margin trading compared to leverage through options, including worked spreadsheet example. -Black-Scholes pricing code for the HP17B, HP19B, and HP12C. -Three downloadable spreadsheets. One allows the user to forecast T-costs for option positions using simple models. Another allows the user to explore option sensitivities including the Greeks. -Practitioner Bloomberg Terminal screenshots to aid learning. -Simple discussion of continuously-compounded returns. -Introduction to "paratrading" (trading stocks side-by-side with options to generate additional profit). -Unique "regrets" treatment of early exercise decisions and trade-offs for American-style calls and puts. -Unique discussion of put-call parity and option pricing. -How to calculate Black-Scholes in your head in 10 seconds (also in Heard on The Street: Quantitative Questions from Wall Street Job Interviews). -Special attention to arithmetic Brownian motion with general pricing formulae and comparisons to Bachelier (1900) and Black-Scholes. -Careful attention to the impact of dividends in analytical American option pricing. -Dimensional analysis and the adequation formula (relating FX call and FX put prices through transformed Black-Scholes formulae). -Intuitive review of risk-neutral pricing/probabilities and how and why these are related to physical pricing/probabilities. -Careful distinction between the early Merton (non-risk-neutral) hedging-type argument and later Cox-Ross/Harrison-Kreps risk-neutral pricing -Simple discussion of Monte-Carlo methods in science and option pricing. -Simple interpretations of the Black-Scholes formula and PDE and implications for trading. -Careful discussion of conditional probabilities as they relate to Black-Scholes. -Intuitive treatment of high-level topics e.g., bond-numeraire interpretation of Black-Scholes (where N(d2) is P(ITM)) versus the stock-numeraire interpretation (where N(d1) is P(ITM)). -Introduction and discussion of the risk-neutral probability that a European-style call or put option is ever in the money during its life.
Book Synopsis A First Course in Options Pricing Theory by : Simone Calogero
Download or read book A First Course in Options Pricing Theory written by Simone Calogero and published by SIAM. This book was released on 2023-06-01 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Among the many branches of applied mathematics, options pricing theory occupies a unique position: it utilizes a wide range of advanced mathematical concepts, making it appealing to mathematicians, and it is regularly applied at financial institutions, making it indispensable to practitioners. The emergence of artificial intelligence in the financial industry has led to further interest in mathematical finance and has increased the demand for literature on this subject that is accessible to a large audience. This book presents a self-contained introduction to options pricing theory and includes a complete discussion of the required concepts in finance and probability theory; an introduction to basic models, emphasizing both critical thinking and practical applications; and over 200 exercises, several Python codes for the analysis and application of the options pricing models, and numerical projects intended to help close the gap between theory and practice. A First Course in Options Pricing Theory is suitable for an advanced undergraduate course on financial mathematics and options pricing theory in engineering, computer science, and applied mathematics programs. The reader is assumed to be familiar with the standard material in calculus and linear algebra. Stochastic calculus is not used in the book.
Book Synopsis Option Pricing Theory and Its Applications by : Xiaofei Li
Download or read book Option Pricing Theory and Its Applications written by Xiaofei Li and published by . This book was released on 1996 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Volatility Specification in Option Valuation by : Karim Mimouni
Download or read book Three Essays on Volatility Specification in Option Valuation written by Karim Mimouni and published by . This book was released on 2007 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In the second essay, we estimate the Constant Elasticity of Variance (CEV) model in order to study the level of nonlinearity in the volatility dynamic. We also estimate a CEV process combined with a jump process (CEVJ) and analyze the effects of the jump component on the nonlinearity coefficient. Estimation is performed using the particle filtering technique on a long series of S&P500 returns and on options data. We find that both returns data and returns-and-options data favor nonlinear specifications for the volatility dynamic, suggesting that the extensive use of linear models is not supported empirically. We also find that the inclusion of jumps does not affect the level of nonlinearity and does not improve the CEV model fit." --
Book Synopsis Three Essays on the Valuation of Options by : Jung-Jin Lee
Download or read book Three Essays on the Valuation of Options written by Jung-Jin Lee and published by . This book was released on 1991 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing Theory and Its Applications by : John C. Cox
Download or read book Option Pricing Theory and Its Applications written by John C. Cox and published by . This book was released on 1987 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: