Black Scholes and Beyond: Option Pricing Models

Front Cover
McGraw Hill Professional, 1997 - Business & Economics - 496 pages
0 Reviews
An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``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 ``in the presence of the smile''; complete explanation on pricing barrier options.

From inside the book

What people are saying - Write a review

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

Contents

STOCKS OPTIONS AND FUTURES
11
FUNDAMENTAL MATHEMATICAL CONCEPTS
57
THE GEOMETRIC BROWN1AN MOTION MODEL OF PRICE MOVE
93
Copyright

10 other sections not shown

Other editions - View all

Common terms and phrases

References to this book

All Book Search results »

About the author (1997)

McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

Bibliographic information