Black-scholes And Beyond: Option Pricing Models
by Neil A. Chriss /
1996 / English / CHM
3.8 MB Download
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
Balck-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: detailed discussions of
pricing and hedging options; volatility smiles and how to price
options ``in the presence of the smile''; complete explanation on
pricing barrier options.
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
Balck-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: detailed discussions of
pricing and hedging options; volatility smiles and how to price
options ``in the presence of the smile''; complete explanation on
pricing barrier options.