Black Scholes and Beyond: Option Pricing Models / Edition 1

Black Scholes and Beyond: Option Pricing Models / Edition 1

by Neil A. Chriss, Neil Chriss
     
 

An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained &'grave;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

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Overview

An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained &'grave;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 &'grave;in the presence of the smile''; complete explanation on pricing barrier options.

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Product Details

ISBN-13:
9780786310258
Publisher:
McGraw-Hill Companies, The
Publication date:
09/28/1996
Pages:
476
Product dimensions:
6.30(w) x 9.00(h) x 1.18(d)

Table of Contents

1Stocks, Options, and Futures11
2Fundamental Mathematical Concepts57
3The Geometric Brownian Motion Model of Price Movements93
4The Black-Scholes Formula119
5More on the Black-Scholes Formula185
6Binomial Trees219
7Basic Option Pricing With Binomial Trees273
8The Volatility Smile327
9Implied Volatility Trees361
10Implied Binomial Trees411
11Pricing Barrier Options in the Presence of the Smile433
Bibliography477
Author Index484
Index486

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