Advanced option Pricing Models

Jeffrey Owen Katz, Donna L. McCormick

760 pages, parution le 12/04/2005

Ajouter à une liste

Indisponible

Résumé

Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and 'curve fitting,' and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.

Sommaire

A review of options basics
Fair value and efficient price
Popular option pricing models
Statistical moments of stock returns
Estimating future volatility
Pricing options with conditional distributions
Neural networks, polynomial regressions, and hybrid pricing models
Volatility revisited
Option prices in the marketplace

Voir tout

Replier

Caractéristiques techniques

	PAPIER
Éditeur(s)	Mc Graw Hill
Auteur(s)	Jeffrey Owen Katz, Donna L. McCormick
Parution	12/04/2005
Nb. de pages	760
Format	16 x 24
Couverture	Relié
Poids	760g
Intérieur	Noir et Blanc
EAN13	9780071406055
ISBN13	978-0-07-140605-5