Black-scholes and beyond: option pricing models
In Black-Scholes and Beyond, a clear, detailed book on modern option pricing, Wall Street professional and respected mathematician Neil Chriss provides a comprehensive, one-stop treatment of the most important and potentially profit-making of these theories. Chriss explains the modern theory of opti...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English German |
| Veröffentlicht: |
Chicago [u.a.]
Irwin
1997
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | In Black-Scholes and Beyond, a clear, detailed book on modern option pricing, Wall Street professional and respected mathematician Neil Chriss provides a comprehensive, one-stop treatment of the most important and potentially profit-making of these theories. Chriss explains the modern theory of option pricing from scratch, with all necessary mathematics and finance included in the text and accessible to the beginner. At the same time, Black-Scholes and Beyond provides in-depth coverage of newer option pricing models, theories and products, with enough detail for options market veterans Topics covered include Cox-Ross-Rubinstein - Pioneering work on binomial trees, plus several new related methods of option pricing; Derman-Kani - The theory of implied volatility trees is covered comprehensively, but with less complexity than in the original work, and expanded for use with American options; and Implied Binomial Trees - Detailed discussion of the Rubinstein model and introduction of tools for increasing ease of use and utility |
| Beschreibung: | VIII, 496 S. graph. Darst. |
| ISBN: | 0786310251 |
Internformat
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| 520 | 3 | |a In Black-Scholes and Beyond, a clear, detailed book on modern option pricing, Wall Street professional and respected mathematician Neil Chriss provides a comprehensive, one-stop treatment of the most important and potentially profit-making of these theories. Chriss explains the modern theory of option pricing from scratch, with all necessary mathematics and finance included in the text and accessible to the beginner. At the same time, Black-Scholes and Beyond provides in-depth coverage of newer option pricing models, theories and products, with enough detail for options market veterans | |
| 520 | |a Topics covered include Cox-Ross-Rubinstein - Pioneering work on binomial trees, plus several new related methods of option pricing; Derman-Kani - The theory of implied volatility trees is covered comprehensively, but with less complexity than in the original work, and expanded for use with American options; and Implied Binomial Trees - Detailed discussion of the Rubinstein model and introduction of tools for increasing ease of use and utility | ||
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Datensatz im Suchindex
| _version_ | 1804125528434671616 |
|---|---|
| adam_text | © CONTENTS
1 STOCKS, OPTIONS, AND FUTURES 11
1.1 A preliminary definition of options, 11
1.2 Stocks, stock indexes, and zero coupon bonds, 13
1.3 Stock indexes and foreign currencies, 17
1.4 Riskless zero coupon bonds, 23
1.5 Derivative securities, 24
1.6 The value of an option, 26
1.7 Security positions, 34
1.8 Arbitrage and the basic properties of options, 38
1.9 Put call parity for European options, 40
1.10 The economics of put call parity, 43
1.11 Early exercise of American options, 45
1.12 Valuing Forward contracts, 48
2 FUNDAMENTAL MATHEMATICAL CONCEPTS 57
2.1 The exponential, compound interest, and natural logarithms, 57
2.2 Probability theory, 66
2.3 The normal distribution, 78
2.4 Cumulative normal distribution function, 85
2.5 Four formulas for N(x), 88
2.6 Properties of the cumulative normal distribution function, 90
3 THE GEOMETRIC BROWNIAN MOTION MODEL OF PRICE MOVE¬
MENTS 93
3.1 Volatility and risk, 94
3.2 The model, 96
3.3 Calibrating the model, 103
3.4 The distribution of stock prices, 109
3.5 Brownian motion and call options, 112
3.6 Geometric Brownian motion: fact or fiction?, 115
4 THE BLACK SCHOLES FORMULA 119
4.1 Self financing, replicating hedging strategies, 120
4.2 The expected rate of return on a stock, 127
4.3 Hedging, 128
4.4 Dynamic Hedging, 129
iti
4.5 The delta of an option, 132
iv CONTENTS
4.6 The Black Scholes hedging strategy, 140
4.7 How and why the Black Scholes formula works, 145
4.8 Formulas for A, and B,, 152
4.9 Black Scholes with dividends, 154
4.10 Hedge parameters, 162
5 MORE ON THE BLACK SCHOLES FORMULA 185
5.1 Questions about Black Scholes, 185
5.2 Risk neutral valuation, 190
5.3 Delta hedging, 195
5.4 A common misconception about Black Scholes, 197
5.5 The economic assumptions behind Black Scholes, 200
5.6 Simulated Black Scholes hedging, 204
6 BINOMIAL TREES 219
6.1 Continuous versus discrete time models, 221
6.2 Binomial trees, 221
6.3 Binomial trees and stock returns, 22J8
6.4 Binomial trees and volatility, 23Q
6.5 Building a standard binomial tree, 233 )
6.6 The most general standard trees, 239
6.7 The numbering system of the nodes, 241
6.8 Risk neutral worlds and binomial trees, 241
6.9 Forward interest rates and binomial trees, 243
6.10 Binomial trees and dividends, 250
6.11 Arrow Debreu prices, 260
6.12 The distribution of returns, 265
6.13 Arrow Debreu prices and butterfly spreads, 271
7 BASIC OPTION PRICING WITH BINOMIAL TREES 273
7.1 One step models, 274
7.2 Hedging the option, 278
7.3 Binomial pricing and risk neutral probabilities, 282
7.4 Pricing European options on multiple step trees, 284
7.5 Option valuation and Arrow Debreu prices, 296
7.6 Stock price quantization and specification error, 299
7.7 Introduction to valuing exotic options on a binomial tree, 303
7.8 Hedge Parameters, 308
7.9 Pricing American options on a flexible tree, 315
7.10 The early exercise barrier, 323
Contents v
8 THE VOLATILITY SMILE 327
8.1 Implied volatility and the theory of option pricing, 327
8.2 Computing implied volatility, 329
8.3 The Newton Raphson method, 336
8.4 The Volatility Smile, 341
8.5 The Volatility of Volatility—Stochastic Volatility, 343
9 IMPLIED VOLATILITY TREES 361
9.1 Preliminaries—interpolation and extrapolation, 364
9.2 Building implied trees—European options, 367
9.3 Building implied trees with American input options, 373
9.4 The false position method, 377
9.5 Arrow Debreu prices and bad probabilities, 379
9.6 Implementing a system for building implied trees, 384
9.7 Sample implied volatility computations, 390
9.8 Hypothetical implied volatility tree: The S P 500, 396
9.9 The S P 500 and the volatility smile, 400
9.10 Bilinear interpolation of implied volatilities, 405
10 IMPLIED BINOMIAL TREES 411
10.1 Inferring distributions directly from option prices, 413
10.2 Building implied binomial trees, 417
10.3 Sample implied binomial tree, 420
10.4 Skewing a probability distribution, 423
10.5 A complete example, 426
10.6 Implied binomial versus implied volatility trees, 430
11 PRICING BARRIER OPTIONS IN THE PRESENCE OF THE SMILE 433
11.1 What are barrier options?, 433
11.2 In out parity and barrier options, 436
11.3 The price behavior of barrier options, 438
11.4 Valuing barrier options on a binomial tree, 452
11.5 Enhanced numerical methods, 464
11.6 Final Words... What s it all foog for?, 473
BIBLIOGRAPHY 477
AUTHOR INDEX 484
INDEX 486
|
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 |
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| id | DE-604.BV011039654 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:03:00Z |
| institution | BVB |
| isbn | 0786310251 |
| language | English German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007391552 |
| oclc_num | 34515596 |
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| physical | VIII, 496 S. graph. Darst. |
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| spelling | Chriss, Neil 1967- Verfasser (DE-588)135675979 aut Black-scholes and beyond option pricing models Neil A. Chriss Black scholes and beyond Chicago [u.a.] Irwin 1997 VIII, 496 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier In Black-Scholes and Beyond, a clear, detailed book on modern option pricing, Wall Street professional and respected mathematician Neil Chriss provides a comprehensive, one-stop treatment of the most important and potentially profit-making of these theories. Chriss explains the modern theory of option pricing from scratch, with all necessary mathematics and finance included in the text and accessible to the beginner. At the same time, Black-Scholes and Beyond provides in-depth coverage of newer option pricing models, theories and products, with enough detail for options market veterans Topics covered include Cox-Ross-Rubinstein - Pioneering work on binomial trees, plus several new related methods of option pricing; Derman-Kani - The theory of implied volatility trees is covered comprehensively, but with less complexity than in the original work, and expanded for use with American options; and Implied Binomial Trees - Detailed discussion of the Rubinstein model and introduction of tools for increasing ease of use and utility Optiehandel gtt Options (Finances) - Prix - Modèles mathématiques Mathematisches Modell Options (Finance) Prices Mathematical models Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007391552&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chriss, Neil 1967- Black-scholes and beyond option pricing models Optiehandel gtt Options (Finances) - Prix - Modèles mathématiques Mathematisches Modell Options (Finance) Prices Mathematical models Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4135346-8 |
| title | Black-scholes and beyond option pricing models |
| title_alt | Black scholes and beyond |
| title_auth | Black-scholes and beyond option pricing models |
| title_exact_search | Black-scholes and beyond option pricing models |
| title_full | Black-scholes and beyond option pricing models Neil A. Chriss |
| title_fullStr | Black-scholes and beyond option pricing models Neil A. Chriss |
| title_full_unstemmed | Black-scholes and beyond option pricing models Neil A. Chriss |
| title_short | Black-scholes and beyond |
| title_sort | black scholes and beyond option pricing models |
| title_sub | option pricing models |
| topic | Optiehandel gtt Options (Finances) - Prix - Modèles mathématiques Mathematisches Modell Options (Finance) Prices Mathematical models Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Optiehandel Options (Finances) - Prix - Modèles mathématiques Mathematisches Modell Options (Finance) Prices Mathematical models Optionspreistheorie |
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