The Complete Guide to Option Pricing Formulas (Hardcover)

Espen Gaarder Haug

ISBN 10: 0071389970 / ISBN 13: 9780071389976

Published by McGraw-Hill Education - Europe, 2007

About this Item

Hardcover. Long-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 formulasextensive tables providing an overview of all formulasnew examples and applicationsand 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 Option Pricing Formulas offers quick access to: Options Pricing OverviewBlack-Scholes-MertonBlack-Scholes-Merton GreeksAnalytical Formulas for American OptionsExotic Options Single AssetExotic Options on Two AssetsBlack-Scholes-Merton Adjustments and AlternativesTrees and Finite Difference MethodsMonte Carlo SimulationOptions on Stocks that Pay Discrete DividendsCommodity and Energy OptionsInterest Rate DerivativesVolatility and CorrelationDistributionsSome Useful Formulas: Interpolation, Interest Rates, and Risk-Reward Measures This all-in-one options pricing guide contains a numerical example or a table with values for each option pricing formula. The book also includes a helpful glossary of notations, as well as an extensive bibliography of related books and articles. When pricing options in fast-action markets, experience and intuition are not enough - financial professionals need precise facts and tested information that has been proven time and again. This reference contains listing of various option pricing formula, presented in a dictionary format. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9780071389976

Bibliographic Details

• Title: The Complete Guide to Option Pricing Formulas (Hardcover)
• Publisher: McGraw-Hill Education - Europe
• Publication Date: 2007
• Language: English
• ISBN 10: 0071389970
• ISBN 13: 9780071389976
• Binding: Hardcover
• Edition: 2nd Edition
• Condition: new

About this title

Synopsis

Long-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 formulas…extensive tables providing an overview of all formulas…new examples and applications…and 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 Option Pricing Formulas offers quick access to:

• Options Pricing Overview
• Black-Scholes-Merton
• Black-Scholes-Merton Greeks
• Analytical Formulas for American Options
• Exotic Options Single Asset
• Exotic Options on Two Assets
• Black-Scholes-Merton Adjustments and Alternatives
• Trees and Finite Difference Methods
• Monte Carlo Simulation
• Options on Stocks that Pay Discrete Dividends
• Commodity and Energy Options
• Interest Rate Derivatives
• Volatility and Correlation
• Distributions
• Some Useful Formulas: Interpolation, Interest Rates, and Risk-Reward Measures

This all-in-one options pricing guide contains a numerical example or a table with values for each option pricing formula. The book also includes a helpful glossary of notations, as well as an extensive bibliography of related books and articles.

About the Author

Espen Gaarder Haug, has more than 15 years of experience in derivatives trading and research. He has worked as a proprietary option trader at J.P. Morgan Chase in New York, and as an option trader for the hedge funds Amaranth Advisors and Paloma Partners. Dr. Haug has published extensively in journals such as Quantitative Finance, International Journal of Theoretical and Applied Finance, and Wilmott Magazine. He is also a popular lecturer on option pricing, hedging, and risk management and an Adjunct Associate Professor at Norwegian University of Science and Technology.