Black-Scholes and beyond : option pricing models
- Neil A. Chriss.
- Boston, Mass. : McGraw-Hill, c1997.
- Physical description
- viii, 496 p. : ill. ; cm.
Science Library (Li and Ma)
|HG6024 .A3 C496 1997||Unknown|
- Chriss, Neil A., 1967-
- Stocks, Options, and Futures. Fundamental Mathematical Concepts. The Geometric Brownian Motion Model of Price Movements. The Black-Scholes Formula. More on the Black-Scholes 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)9780786310258 20160614
- 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 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 Black-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" 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)9780786310258 20160614
- Publication date
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