Description
Book SynopsisLong-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 formulasâextensive tables providing an overview of all formulasânew examples and applicationsâand 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 Op
Table of Contents
1: Black-Scholes-Merton
2: Black-Scholes-Merton Greeks
3: Analytical Formulas for American Options
4: Exotic Options Single Asset
5: Exotic Option on Two Assets
6: Black-Scholes- mertoMertonstments and Alternatives
7: Trees and Finite Difference methods
8: Monte Carlo Simulation
9: Options on Stock That Pay Discrete Dividends
10: Commodity and Energy Options
11: Interest Rate Derivatives
12: Volatility and Correlation
13: Distributions
14: Some Useful Formulas
