The complete guide to option pricing formulas

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Title:

Author:

Haug, Espen Gaarder.

ISBN:

9780071477345

9780071389976

Personal Author:

Haug, Espen Gaarder.

Edition:

2nd ed.

Publication Information:

New York : McGraw-Hill, c2007.

Physical Description:

xxxvii, 536. p. : ill. ; 25 cm + 1 CD-ROM (4 3/4 in. )

Contents:

Black-Scholes-Merton -- Black-Scholes-Merton Greeks -- Analytical formulas for American options -- Exotic options-single asset -- Exotic options on two assets -- Black-Scholes-Merton adjustments and alternatives -- Trees and finite difference methods -- Monte Carlo simulation -- Options on stocks that pay discrete dividends -- Commodity and energy options -- Interest rate derivatives -- Volatility and correlation -- Distributions -- Some useful formulas -- The option pricing software.

Subject Term:

Options (Finance) -- Prices.

Options (Finance) -- Mathematical models -- Software.

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025514247	332.632283 H371C 2007	1	Searching... Unknown

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Summary

Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula_all presented in an easy-to-use dictionary format, with expert author commentary and ready-to-use programming code.

The Second Edition of this classic guide now includes more than 60 new option models and formulas...extensive tables providing an overview of all formulas...new examples and applications...and an updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets.

The volume also features several new chapters covering such things as: option sensitivities, discrete dividend, commodity options, and two chapters on numerical methods covering trees, finite difference and Monte Carlo Simulation.

The new edition of The Complete Guide to Option Pricing Formulas offers quick access to:

Options Pricing Overview Black-Scholes-Merton Black-Scholes-Merton Greeks Analytical Formulas for American Options Exotic Options Single Asset Exotic Options on Two Assets Black-Scholes-Merton Adjustments and Alternatives Trees and Finite Difference Methods Monte Carlo Simulation Options on Stocks that Pay Discrete Dividends Commodity and Energy Options Interest Rate Derivatives Volatility and Correlation Distributions Some Useful Formulas: Interpolation, Interest Rates, and Risk-Reward Measures

This all-in-one options pricing guide contains a numerical example or a table with values for each option pricing formula. The book also includes a helpful glossary of notations, as well as an extensive bibliography of related books and articles.