BlackScholes and beyond : option pricing models
 Responsibility
 Neil A. Chriss.
 Language
 English.
 Imprint
 Boston, Mass. : McGrawHill, c1997.
 Physical description
 viii, 496 p. : ill. ; cm.
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Creators/Contributors
 Author/Creator
 Chriss, Neil A., 1967
Contents/Summary
 Contents

 Stocks, Options, and Futures. Fundamental Mathematical Concepts. The Geometric Brownian Motion Model of Price Movements. The BlackScholes Formula. More on the BlackScholes Formula. Binomial Trees. Basic Option Pricing with Binomial Trees. The Volatility Smile. Implied Volatility Trees. Implied Binomial Trees. Pricing Barrier Options in the Presence of the Smile.
 (source: Nielsen Book Data)
 Publisher's Summary
 This is 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 BlackScholes equation works, and what other new methods have been developed that build on the success of BlackShcoles. The CoxRossRubinstein binomial trees are discussed, as well as two recent theories of option pricing: the DermanKani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. "BlackScholes and Beyond" will not only help the reader gain a solid understanding of the BlackScholes 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 "BlackScholes and Beyond" are: detailed discussions of pricing and hedging options; volatility smiles and how to price options "in the presence of the smile"; and complete explanation on pricing barrier options.
(source: Nielsen Book Data)
Subjects
 Subject
 Options (Finance) > Prices > Mathematical models.
Bibliographic information
 Publication date
 1997
 ISBN
 0786310251
 9780786310258