Black Scholes Formula A Walkthrough
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Black Scholes Formula A Walkthrough
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Author : Cornelius Kirsche
language : en
Publisher: GRIN Verlag
Release Date : 2012-08-15
Black Scholes Formula A Walkthrough written by Cornelius Kirsche and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-15 with Business & Economics categories.
Essay from the year 2012 in the subject Business economics - Offline Marketing and Online Marketing, grade: 1,3, International University of Applied Sciences, course: Investment Analysis and Portfolio Management, language: English, abstract: This academic paper focuses on breaking down the magic of the Black-Scholes formula, which is used to value options. The author first introduces basic concepts like options, option strategies and the put-call parity to guide the reader through the underlying, basic concepts. To illustrate the use and the power of the Black-Scholes formula, two examples are calculated to better understand the complex steps involved in finding the call value. Finally, a failure case is presented, to show some pitfalls of this mathematical function.
Probability Theory In Finance
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Author : Seán Dineen
language : en
Publisher: American Mathematical Soc.
Release Date : 2013-05-22
Probability Theory In Finance written by Seán Dineen and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-22 with Mathematics categories.
The use of the Black-Scholes model and formula is pervasive in financial markets. There are very few undergraduate textbooks available on the subject and, until now, almost none written by mathematicians. Based on a course given by the author, the goal of
How To Calculate Options Prices And Their Greeks
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Author : Pierino Ursone
language : en
Publisher: John Wiley & Sons
Release Date : 2015-06-02
How To Calculate Options Prices And Their Greeks written by Pierino Ursone and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-02 with Business & Economics categories.
A unique, in-depth guide to options pricing and valuing their greeks, along with a four dimensional approach towards the impact of changing market circumstances on options How to Calculate Options Prices and Their Greeks is the only book of its kind, showing you how to value options and the greeks according to the Black Scholes model but also how to do this without consulting a model. You'll build a solid understanding of options and hedging strategies as you explore the concepts of probability, volatility, and put call parity, then move into more advanced topics in combination with a four-dimensional approach of the change of the P&L of an option portfolio in relation to strike, underlying, volatility, and time to maturity. This informative guide fully explains the distribution of first and second order Greeks along the whole range wherein an option has optionality, and delves into trading strategies, including spreads, straddles, strangles, butterflies, kurtosis, vega-convexity , and more. Charts and tables illustrate how specific positions in a Greek evolve in relation to its parameters, and digital ancillaries allow you to see 3D representations using your own parameters and volumes. The Black and Scholes model is the most widely used option model, appreciated for its simplicity and ability to generate a fair value for options pricing in all kinds of markets. This book shows you the ins and outs of the model, giving you the practical understanding you need for setting up and managing an option strategy. • Understand the Greeks, and how they make or break a strategy • See how the Greeks change with time, volatility, and underlying • Explore various trading strategies • Implement options positions, and more Representations of option payoffs are too often based on a simple two-dimensional approach consisting of P&L versus underlying at expiry. This is misleading, as the Greeks can make a world of difference over the lifetime of a strategy. How to Calculate Options Prices and Their Greeks is a comprehensive, in-depth guide to a thorough and more effective understanding of options, their Greeks, and (hedging) option strategies.
Exotic Options A Guide To Second Generation Options 2nd Edition
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Author : Peter Guangping Zhang
language : en
Publisher: World Scientific
Release Date : 1998-06-17
Exotic Options A Guide To Second Generation Options 2nd Edition written by Peter Guangping Zhang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-06-17 with Business & Economics categories.
This is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.
The Complete Guide To Option Pricing Formulas
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Author : Espen Gaarder Haug
language : en
Publisher: Professional Finance & Investment
Release Date : 2007-01-08
The Complete Guide To Option Pricing Formulas written by Espen Gaarder Haug and has been published by Professional Finance & Investment this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-08 with Business & Economics categories.
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.
On The Derivation And Solution Of The Black Scholes Option Pricing Model
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Author : D. Chappell
language : en
Publisher:
Release Date : 1987
On The Derivation And Solution Of The Black Scholes Option Pricing Model written by D. Chappell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Option (Contract) categories.
The Black Scholes And Beyond And The Black Scholes And Beyond Interactive Toolkit
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Author : Neil A. Chriss
language : en
Publisher: Irwin Professional Pub
Release Date : 1997-02-01
The Black Scholes And Beyond And The Black Scholes And Beyond Interactive Toolkit written by Neil A. Chriss and has been published by Irwin Professional Pub this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-02-01 with categories.
Option Pricing Models And Volatility Using Excel Vba
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Author : Fabrice D. Rouah
language : en
Publisher: John Wiley & Sons
Release Date : 2012-06-15
Option Pricing Models And Volatility Using Excel Vba written by Fabrice D. Rouah and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-15 with Business & Economics categories.
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
The Complete Guide To Option Pricing Formulas
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Author : Espen Gaardner Haug
language : en
Publisher: McGraw Hill Professional
Release Date : 1997-09-22
The Complete Guide To Option Pricing Formulas written by Espen Gaardner Haug and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-09-22 with Business & Economics categories.
When pricing options in todayÕs fast-action markets, you need quick access to precise facts and market-tested information. The Complete Guide to Options Pricing Formulas is the only authoritative, comprehensive reference to make the necessary set of option pricing tools available in one place. This invaluable reference work, which includes valuable software and ready-to-use programming code to enhance your understanding of the options pricing models discussed and their practical implementations, also gives you a complete listing of key options formulas, all in a dictionary format for ease of use; commentary from derivatives expert and author Espen Gaarder Haug that explains key points in the most important and useful formulas; practitioner-oriented formulas, and highlights of the latest options pricing research from major institutions worldwide; and much more! Invaluable for both experienced users and those learning how to use the tools of valuation, The Complete Guide to Options Pricing Formulas is the first and only book to place all of the research and information you need at your fingertips with precise directions on maximizing its real-world value.
The Volatility Surface
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Author : Jim Gatheral
language : en
Publisher: John Wiley & Sons
Release Date : 2011-03-10
The Volatility Surface written by Jim Gatheral and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-10 with Business & Economics categories.
Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP