Advanced Option Pricing Models

Front Cover
McGraw Hill Professional, Mar 21, 2005 - Business & Economics - 450 pages
0 Reviews

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.

 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Introduction
1
Chapter 1
19
Chapter 2
51
Chapter 3
71
Chapter 4
103
Chapter 5
147
Chapter 6
199
Chapter 7
259
Chapter 8
333
Chapter 9
383
Conclusion
401
Companion Software Available
423
Bibliography
425
Index
429
Copyright

Other editions - View all

Common terms and phrases

About the author (2005)

Jeffrey Owen Katz, Ph.D., is founder and president of Scientific Consultant Services, Inc. He is also a consultant and trader who applies advanced technology to modeling and trading the markets. The author of dozens of articles for Technical Analysis of Stocks and Commodities and Futures, Katz is the coauthor (with Donna L. McCormick) of The Encyclopedia of Trading Strategies and How to Start Day Trading Futures, Options, and Indices.

Donna L. McCormick is vice president of Scientific Consultant Services, Inc. She has coauthored numerous works with Katz and was a contributing writer for Technical Analysis of Stocks and Commodities.

Readers are invited to contact the authors at www.scientific-consultants.com.

Bibliographic information