Option pricing and investment strategies:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chicago, Ill.
Probus
1991
|
| Ausgabe: | 3. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 1. Aufl. u.d.T.: Bookstaber, Richard M.: Option pricing and strategies in investing |
| Beschreibung: | XII, 300 S. graph. Darst. |
| ISBN: | 1557381453 |
Internformat
MARC
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| 264 | 1 | |a Chicago, Ill. |b Probus |c 1991 | |
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| 500 | |a 1. Aufl. u.d.T.: Bookstaber, Richard M.: Option pricing and strategies in investing | ||
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Datensatz im Suchindex
| _version_ | 1804119697813143552 |
|---|---|
| adam_text | CONTENTS
Preface vii
Growth of the Option Market vii
Structure of This Book viii
Acknowledgments xi
Chapter 1 Introduction 1
Definitions of Call and Put Options 1
The Role of Options 7
Chapter 2 Properties of Option Pricing 13
Basic Properties 14
Further Restrictions on the Price of Call Options 18
Put Options 26
Properties of Options on Futures Contracts 33
Chapter 3 The Option Pricing Model 37
A One Period Example 38
Anatomy of an Arbitrage: Making $1.5 Million at the State Fair 41
The Option Pricing Model 44
iii
iv Contents
A Generalized Option Pricing Model: Pricing Options on
Futures, Foreign Exchange, and Securities with Cashflows 48
The Hedge Ratio 54
Conclusion 58
Appendix: The Derivation of the Option Pricing Formula 59
Chapter 4 The Framework for Option Analysis 77
Using the Payoff Profile to Evaluate Profit Potential 79
Delta Strategies: Trading on Directional Movement 84
Gamma Strategies: Trading on Price Instability 95
Theta Strategies: Trading on Time Decay 106
Kappa: Monitoring the Costs of Volatility Misestimation 110
Conclusion 113
Appendix: Formulas for Exposure Measurement 116
Chapter 5 Understanding and Estimating Volatility 119
What is Volatility? 120
Estimating Volatility 125
Chapter 6 Option Replication Technology 137
How Option Replication Works 137
A Day in the Life of a Dynamic Hedge 141
Exposure Measurement 154
Conclusion 157
Chapter 7 Evaluating Option Models 159
A Description of Hedging Methodology 161
Base Case Results 167
The Impact of Volatility Specification 170
The Impact of Transaction Costs and Discrete Hedging 174
Conclusion 176
Chapter 8 Option Trading Strategies 179
Take a Position in a Mispriced Option 180
Hedge the Position 181
Adjust the Hedge 185
Close the Option Position 189
Option Trading Strategies: A Further Example 190
Contents v
Chapter 9 Creating Options: Dynamic Hedging and
Portfolio Insurance 197
How Dynamic Hedging Works 198 The Determinants of Hedging Performance 211
Applications to More Complex Asset/Liability Hedges 213
Non Standard and Designer Options: Exotica of the
Option Market 216
An Illustration of the Application of Dynamic Hedging:
Pension Fund Asset/Liability Management 221
The Evaluation of Option Replication Strategies 231
Summary 234
Chapter 10 Option Based Security Analysis 237
Equity 238
Corporate Bonds 241
Convertible Bonds 248
Swaps 251
Options Embedded in Fixed Income Instruments 256
Appendix: Arbitrage Free Term Structure and Options on
Fixed Income Instruments 278
References 291
Index 295
|
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| isbn | 1557381453 |
| language | English |
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| spelling | Bookstaber, Richard M. Verfasser aut Option pricing and investment strategies 3. ed. Chicago, Ill. Probus 1991 XII, 300 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier 1. Aufl. u.d.T.: Bookstaber, Richard M.: Option pricing and strategies in investing Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003432854&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bookstaber, Richard M. Option pricing and investment strategies Optionsgeschäft (DE-588)4043670-6 gnd |
| subject_GND | (DE-588)4043670-6 |
| title | Option pricing and investment strategies |
| title_auth | Option pricing and investment strategies |
| title_exact_search | Option pricing and investment strategies |
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