The Handbook of Exotic Options: Instruments, Analysis, and ApplicationsThe Handbook of Exotic Options is the first book to explain the theoretical foundations, structures, and applications of these exciting new instruments. Edited by Israel Nelken, one of the foremost experts in the field, this handbook provides an in-depth explanation of the latest uses of exotic options by institutional investors and corporate treasurers, as well as the latest thinking on advanced topics. Readers will find valuable discussions of: Options theory, volatility, and pricing; The Brownian Motion and the Black Scholes Model; Risk management applications of exotic options. |
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User Review - sthitha_pragjna - LibraryThingBest book on exotic options. Dated in some terminology, but the best mix of intuition, classification and closed form expressions available for the exotics. Read full review
Contents
Market for Exotic Options | 9 |
Pricing Exotic Options and Structures | 43 |
Introduction | 45 |
Copyright | |
24 other sections not shown
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Common terms and phrases
approximation Asian options asset price average-rate option B-shares barrier level barrier options basket option binary option Black-Scholes bond boundary conditions buyer call and put call option Canadian dollar chooser option compound option contingent claim correlation equation equity European European-style example exchange rate exercise exotic derivatives exotic options exposure FIGURE finishes in-the-money Floater formula future valued hedge ratio implied volatility in-the-money interest rates interest-rate investor knock-in knock-out option LIBOR log contract lookback option low-discrepancy sequences method Monte Carlo Monte Carlo method months node numerical option finishes option maturity option premium Option Pricing options respectively path-dependent payoff function percent Pēr portfolio put option rebate risk Risk Magazine shout option spot rate spread option standard strategy strike price strike rate structure swap Table tion trading U.S. dollar underlying asset up-and-out valuation vanilla option variable volatility curve zero
References to this book
Bibliographic information
| Title | The Handbook of Exotic Options: Instruments, Analysis, and Applications Volume 1 of The Handbook of Exotic Options: Instruments, Analysis and Applications, Israel Nelken |
| Editor | Israel Nelken |
| Edition | illustrated |
| Publisher | McGraw Hill Professional, 1996 |
| ISBN | 1557389047, 9781557389046 |
| Length | 362 pages |
| Subjects | › › Business & Economics / Investments & Securities / General |
| Export Citation | BiBTeX EndNote RefMan |