ISBN: 9780071389976

The Complete Guide to Option Pricing Formulas

by Haug, Espen Gaarder

★★★★☆4.21 avg rating

58 ratings byGoodreads

Publisher: McGraw Hill, 2007-01-08

Edition: Hardcover

Language: English

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About the book

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.

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