Emphasizing analytical techniques rather than risk management issues, this book presents an applied mathematics approach to pricing a wide range of standard and exotic options within the Black¿Scholes framework. No formula is simply quoted, as is the general approach in this difficult subject area. Instead, the author demystifies the perceived complexities surrounding the field of exotic option pricing by deriving each pricing formula in detail. After a brief derivatives review, he addresses dual-expiry, two-asset rainbow, and barrier options. The book also explains how stochastic volatility models are calibrated tothe market.
- ISBN: 978-1-4200-9100-7
- Editorial: Chapman & Hall/CRC Statistics and Mathem
- Encuadernacion: Cartoné
- Páginas: 306
- Fecha Publicación: 26/05/2010
- Nº Volúmenes: 1
- Idioma: Inglés