The complete guide to option pricing formulas:
Gespeichert in:
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| Format: | Buch |
| Sprache: | English |
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New York [u.a.]
McGraw-Hill
2007
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| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXXVII, 536 S. graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 9780071477345 9780071389976 0071477349 0071389970 |
Internformat
MARC
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| 100 | 1 | |a Haug, Espen Gaarder |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The complete guide to option pricing formulas |c Espen Gaarder Haug |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 2007 | |
| 300 | |a XXXVII, 536 S. |b graph. Darst. |e 1 CD-ROM (12 cm) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Modèle d'évaluation du prix de l'option |2 rasuqam | |
| 650 | 7 | |a Option (Finances) |2 rasuqam | |
| 650 | 7 | |a Prix de l'option |2 rasuqam | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Options (Finance) |x Mathematical models |x Software | |
| 650 | 4 | |a Options (Finance) |x Prices | |
| 650 | 0 | 7 | |a Optionspreis |0 (DE-588)4115453-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Formel |0 (DE-588)4133595-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Preisbildung |0 (DE-588)4047103-2 |2 gnd |9 rswk-swf |
| 655 | 4 | |a Guide (Descripteur de forme) | |
| 689 | 0 | 0 | |a Optionspreis |0 (DE-588)4115453-8 |D s |
| 689 | 0 | 1 | |a Preisbildung |0 (DE-588)4047103-2 |D s |
| 689 | 0 | 2 | |a Formel |0 (DE-588)4133595-8 |D s |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-015672477 | ||
Datensatz im Suchindex
| _version_ | 1804136549528371200 |
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| adam_text | CONTENTS INTRODUCTION XVII ACKNOWLEDGMENTS . XIX WHAT IS NEW IN THE
SECOND EDITION? XXI OPTION PRICING FORMULAS OVERVIEW XXIII GLOSSARY OF
NOTATIONS XXXV 1 BLACK-SCHOLES-MERTON 1 1.1 BLACK-SCHOLES-MERTON 2 1.1.1
THE BLACK-SCHOLES OPTION PRICING FORMULA .... 2 1.1.2 OPTIONS ON STOCK
INDEXES 4 1.1.3 OPTIONS ON FUTURES 4 1.1.4 MARGINED OPTIONS ON FUTURES 5
1.1.5 CURRENCY OPTIONS 6 1:1.6 THE GENERALIZED BLACK-SCHOLES-MERTON
OPTION PRICING FORMULA 7 1.2 PARITIES AND SYMMETRIES 9 1.2.1 PUT-CALL
PARITY FOR EUROPEAN OPTIONS 9 1.2.2 AT-THE-MONEY FORWARD VALUE SYMMETRY
10 1.2.3 PUT-CALL SYMMETRY 10 1.2.4 PUT-CALL SUPERSYMMETRY 11 1.2.5
BLACK-SCHOLES-MERTON ON VARIANCE FORM 11 1.3 BEFORE BLACK-SCHOLES-MERTON
12 1.3.1 THE BACHELIER MODEL 12 1.3.2 THE SPRENKLE MODEL 13 1.3.3 THE
BONESS MODEL 14 1.3.4 THE SAMUELSON MODEL 14 1.4 APPENDIX A: THE
BLACK-SCHOLES-MERTON PDE 15 VII VIII CONTENTS 1.4.1 ITO S LEMMA 15 1.4.2
DYNAMIC HEDGING 16 2 BLACK-SCHOLES-MERTON GREEKS 21 2.1 DELTA GREEKS 21
2.1.1 DELTA 21 2.1.2 DELTA MIRROR STRIKES AND ASSETS 29 2.1.3 STRIKE
FROM DELTA 30 2.1.4 FUTURES DELTA FROM SPOT DELTA 31 2.1.5 DDELTADVOL
AND DVEGADSPOT 32 2.1.6 DVANNADVOL 34 2.1.7 DDELTADTIME, CHARM 35 2.1.8
ELASTICITY 36 2.2 GAMMA GREEKS 38 . 2.2.1 GAMMA 38 2.2.2 MAXIMAL GAMMA
AND THE ILLUSIONS OF RISK 39 2.2.3 GAMMAP 42 2.2.4 GAMMA SYMMETRY 45
2.2.5 DGAMMADVOL, ZOMMA 45 2.2.6 DGAMMADSPOT, SPEED 47 2.2.7
DGAMMADTIME, COLOR 49 2.3 VEGA GREEKS 50 2.3.1 VEGA 50 2.3.2 VEGA
SYMMETRY 55 2.3.3 VEGA-GAMMA RELATIONSHIP 55 2.3.4 VEGA FROM DELTA 56
2.3.5 VEGAP 56 2.3.6 VEGA LEVERAGE, VEGA ELASTICITY 57 2.3.7 DVEGADVOL,
VOMMA 57 2.3.8 DVOMMADVOL, ULTIMA , 60 2.3.9 DVEGADTIME 61 2.4 VARIANCE
GREEKS 62 2.4.1 VARIANCE VEGA 62 2.4.2 DDELTADVAR 63 2.4.3 VARIANCE
VOMMA 63 2.4.4 VARIANCE ULTIMA 63 2.5 VOLATILITY-TIME GREEKS 64 . 2.6
THETA GREEKS 64 I 2.6.1 THETA 64 2.6.2 THETA SYMMETRY 68 2.7 RHO GREEKS
68 2.7.1 RHO 68 2.7.2 PHI/RHO-2 71 2.7.3 CARRY RHO 73 CONTENTS IX 2.8
PROBABILITY GREEKS 75 2.8.1. IN-THE-MONEY PROBABILITY 76 2.8.2 DZETADVOL
79 2.8.3 DZETADTIME 80 2.8.4 RISK-NEUTRAL PROBABILITY DENSITY 80 2.8.5
FROM IN-THE-MONEY PROBABILITY TO DENSITY 80 2.8.6 PROBABILITY OF EVER
GETTING IN-THE-MONEY 80 2.9 GREEKS AGGREGATIONS 81 2.9.1 NET WEIGHTED
VEGA EXPOSURE 82 2.10 AT-THE-MONEY FORWARD APPROXIMATIONS 84 2.10.1
APPROXIMATION OF THE BLACK-SCHOLES-MERTON FORMULA . 84 2.10.2 DELTA . .
. . 84 2.10.3 GAMMA 84 2.10.4 VEGA 84 2.10.5 THETA 84 2.10.6 RHO 85
2.10.7 COST-OF-CARRY 85 2.11 NUMERICAL GREEKS 85 2.11.1 FIRST-ORDER
GREEKS 85 2.11.2 SECOND-ORDER GREEKS 86 2.11.3 THIRD-ORDER GREEKS 86
2.11.4 MIXED GREEKS 87 2.11.5 THIRD-ORDER MIXED GREEKS 87 2.12 GREEKS
FROM CLOSED-FORM APPROXIMATIONS 89 2.13 APPENDIX B: TAKING PARTIAL
DERIVATIVES 90 3 ANALYTICAL FORMULAS FOR AMERICAN OPTIONS 97 3.1 THE
BARONE-ADESI AND WHALEY APPROXIMATION 97 3.2 THE BJERKSUND AND STENSLAND
(1993) APPROXIMATION . . 101 3.3 THE BJERKSUND AND STENSLAND (2002)
APPROXIMATION . . 104 3.4 PUT-CALL TRANSFORMATION AMERICAN OPTIONS 109
3.5 AMERICAN PERPETUAL OPTIONS 109 4 EXOTIC OPTIONS*SINGLE A.SSET . ILL
4.1 VARIABLE PURCHASE OPTIONS ILL 4.2 EXECUTIVE STOCK OPTIONS 114 4.3
MONEYNESS OPTIONS 114 4.4 POWER CONTRACTS AND POWER OPTIONS 115 4.4.1
POWER CONTRACTS 115 4.4.2 STANDARD POWER OPTION 116 4.4.3 CAPPED POWER
OPTION 117 4.4.4 POWERED OPTION 118 4.5 LOG CONTRACTS 119 4.5.1 LOG(S)
CONTRACT 120 CONTENTS 4.5.2 LOGOPTION V. 121 4.6 FORWARD START OPTIONS
121 4.7 FADE-IN OPTION 122 4.8 RATCHET OPTIONS 124 4.9 RESET STRIKE
OPTIONS*TYPE 1 124 4.10 RESET STRIKE OPTIONS*TYPE 2 125 4.11 TIME-SWITCH
OPTIONS 127 4.12 CHOOSER OPTIONS 128 4.12.1 SIMPLE CHOOSER OPTIONS 128
4.12.2 COMPLEX CHOOSER OPTIONS 129 4.13 OPTIONS ON OPTIONS 132 4.13.1
PUT-CALL PARITY COMPOUND OPTIONS 135 4.13.2 COMPOUND OPTION
APPROXIMATION . . .. 136 4.14 OPTIONS WITH EXTENSIBLE MATURITIES 138
4.14.1 OPTIONS THAT CAN BE EXTENDED BY THE HOLDER . . 138 4.14.2
WRITER-EXTENDIBLE OPTIONS: 140 4.15 LOOKBACK OPTIONS 141 4.15.1
FLOATING-STRIKE LOOKBACK OPTIONS 141 4.15.2 FIXED-STRIKE LOOKBACK
OPTIONS 143 4.15.3 PARTIAL-TIME FLOATING-STRIKE LOOKBACK OPTIONS 144
4.15.4 PARTIAL-TIME FIXED-STRIKE LOOKBACK OPTIONS ... 147 4.15.5
EXTREME-SPREAD OPTIONS 148 4.16 MIRROR OPTIONS 150 4.17 BARRIER OPTIONS
152 4.17.1 STANDARD BARRIER OPTIONS 152 4.17.2 STANDARD AMERICAN BARRIER
OPTIONS 154 4.17.3 DOUBLE-BARRIER OPTIONS ; 156 4.17.4 PARTIAL-TIME
SINGLE-ASSET BARRIER OPTIONS 160 4.17.5 LOOK-BARRIER OPTIONS 163 4.17.6
DISCRETE-BARRIER OPTIONS 164 4.17.7 SOFT-BARRIER OPTIONS 165 4.17.8 USE
OF PUT-CALL SYMMETRY FOR BARRIER OPTIONS . . 167 4.18 BARRIER OPTION
SYMMETRIES 168 4.18.1 FIRST-THEN-BARRIER OPTIONS 169 4.18.2
DOUBLE-BARRIER OPTION USING BARRIER SYMMETRY 171 4.18.3 DUAL
DOUBLE-BARRIER OPTIONS 172 4.19 BINARY OPTIONS 174 * 4.19.1 GAP OPTIONS
174 4.19.2 CASH-OR-NOTHING OPTIONS 174 4.19.3 ASSET-OR-NOTHING OPTIONS
175 4.19.4 SUPERSHARE OPTIONS 176 4.19.5 BINARY BARRIER OPTIONS 176
4.19.6 DOUBLE-BARRIER BINARY OPTIONS 180 CONTENTS XI 4.19.7
DOUBLE-BARRIER BINARY ASYMMETRICAL 181 4.20 ASIAN OPTIONS 182 4.20.1
GEOMETRIC AVERAGE-RATE OPTIONS 182 4.20.2 ARITHMETIC AVERAGE-RATE
OPTIONS . 186 4.20.3 DISCRETE ARITHMETIC AVERAGE-RATE OPTIONS 192 4.20.4
EQUIVALENCE OF FLOATING-STRIKE AND FIXED-STRIKE ASIAN OPTIONS 199 4.20.5
ASIAN OPTIONS WITH VOLATILITY TERM-STRUCTURE . . 199 5 EXOTIC OPTIONS ON
TWO ASSETS 203 5.1 RELATIVE OUTPERFORMANCE OPTIONS 203 5.2 PRODUCT
OPTIONS 205 5.3 TWO-ASSET CORRELATION OPTIONS 205 5.4
EXCHANGE-ONE-ASSET-FOR-ANOTHER OPTIONS 206 5.5 AMERICAN
EXCHANGE-ONE-ASSET-FOR-ANOTHER OPTION . . . 208 5.6 EXCHANGE OPTIONS ON
EXCHANGE OPTIONS 209 5.7 OPTIONS ON THE MAXIMUM OR THE MINIMUM OF TWO
RISKY ASSETS 211 5.8 SPREAD-OPTION APPROXIMATION 213 5.9 TWO-ASSET
BARRIER OPTIONS 215 5.10 PARTIAL-TIME TWO-ASSET BARRIER OPTIONS 217 5.11
MARGRABE BARRIER OPTIONS 219 5.12 DISCRETE-BARRIER OPTIONS 221 5.13
TWO-ASSET CASH-OR-NOTHING OPTIONS 221 5.14 BEST OR WORST CASH-OR-NOTHING
OPTIONS 223 5.15 OPTIONS ON THE MINIMUM OR MAXIMUM OF TWO AVERAGES 224
5.16 CURRENCY-TRANSLATED OPTIONS 226 5.16.1 FOREIGN EQUITY OPTIONS
STRUCK IN DOMESTIC CURRENCY 226 5.16.2 FIXED EXCHANGE RATE FOREIGN
EQUITY OPTIONS . . 228 5.16.3 EQUITY LINKED FOREIGN EXCHANGE OPTIONS 230
5.16.4 TAKEOVER FOREIGN EXCHANGE OPTIONS ; . . 232 5.17 GREEKS FOR
TWO-ASSET OPTIONS 232 6 BLACK-SCHOLES-MERTON ADJUSTMENTS AND
ALTERNATIVES 233 6.1 THE BLACK-SCHOLES-MERTON MODEL WITH DELAYED
SETTLEMENT 234 6.2 THE BLACK-SCHOLES-MERTON MODEL ADJUSTED FOR TRADING
DAY VOLATILITY 235 6.3 DISCRETE HEDGING 236 6.3.1 HEDGINGERROR 236 6.3.2
DISCRETE-TIME OPTION VALUATION AND DELTA HEDGING 237 6.3.3 DISCRETE-TIME
HEDGING WITH TRANSACTION COST . . 238 XII CONTENTS 6.4 OPTION PRICING IN
TRENDING MARKETS 240 6.5 ALTERNATIVE STOCHASTIC PROCESSES 242 6.6
CONSTANT ELASTICITY OF VARIANCE 242 6.7 SKEWNESS-KURTOSIS MODELS 244
6.7.1 DEFINITION OF SKEWNESS AND KURTOSIS 244 6.7.2 THE SKEWNESS AND
KURTOSIS FOR A LOGNORMAL DISTRIBUTION 245 6.7.3 JARROW AND RUDD SKEWNESS
AND KURTOSIS MODEL 246 6.7.4 THE CORRADO AND SU SKEWNESS AND KURTOSIS
MODEL 247 6.7.5 MODIFIED CORRADO-SU SKEWNESS-KURTOSIS MODEL . 250 6.7.6
SKEWNESS-KURTOSIS PUT-CALL SUPERSYMMETRY . . . 252 6.7.7
SKEWNESS-KURTOSIS EQUIVALENT BLACK-SCHOLES-MERTON VOLATILITY 252 . 6.7.8
GRAM CHARLIER DENSITY 252 6.7.9 SKEWNESS-KURTOSIS TREES. 253 6.8 PASCAL
DISTRIBUTION AND OPTION PRICING 253 6.9 JUMP-DIFFUSION MODELS 253 6.9.1
THE MERTON JUMP-DIFFUSION MODEL 253 6.9.2 BATES GENERALIZED
JUMP-DIFFUSION MODEL 255 6.10 STOCHASTIC VOLATILITY MODELS 258 6.10.1
HULL-WHITE UNCORRELATED STOCHASTIC VOLATILITY MODEL ,..259 6.10.2
HULL-WHITE CORRELATED STOCHASTIC VOLATILITY MODEL 261 6.10.3 THE SABR
MODEL 265 6.11 VARIANCE AND VOLATILITY SWAPS 271 6.11.1 VARIANCE SWAPS
271 6.11.2 VOLATILITY SWAPS 274 6.12 MORE INFORMATION 278 7 TREES AND
FINITE DIFFERENCE METHODS 279 7.1 BINOMIAL OPTION PRICING 279 7.1.1
COX-ROSS-RUBINSTEIN AMERICAN BINOMIAL TREE . . 284 7.1.2 GREEKS IN CRR
BINOMIAL TREE 287 7.1.3 RENDLEMAN BARTTER BINOMIAL TREE . 289 7.1.4
LEISEN-REIMER BINOMIAL TREE 290 7.1.5 CONVERTIBLE BONDS IN BINOMIAL
TREES 292 7*2 BINOMIAL MODEL WITH SKEWNESS AND KURTOSIS 297 7.3
TRINOMIAL TREES 299 7.4 EXOTIC OPTIONS IN TREE MODELS 303 7.4.1 OPTIONS
ON OPTIONS 303 7.4.2 BARRIER OPTIONS USING BROWNIAN BRIDGE PROBABILITIES
305 CONTENTS XM 7.4.3 AMERICAN BARRIER OPTIONS IN CRR BINOMIAL TREE 307
7.4.4 EUROPEAN RESET OPTIONS BINOMIAL 308 7.4.5 AMERICAN ASIAN OPTIONS
IN A TREE . 314 7.5 THREE-DIMENSIONAL BINOMIAL TREES 315 7.6 IMPLIED
TREE MODELS 321 7.6.1 IMPLIED BINOMIAL TREES 321 7.6.2 IMPLIED TRINOMIAL
TREES 327 7.7 FINITE DIFFERENCE METHODS 334 7.7.1 EXPLICIT FINITE
DIFFERENCE 335 7.7.2 IMPLICIT FINITE DIFFERENCE 338 7.7.3 FINITE
DIFFERENCE IN LN(S) 340 7.7.4 THE CRANK-NICOLSON METHOD 342 8 MONTE
CARLO SIMULATION 345 8.1 STANDARD MONTE CARLO SIMULATION 345 8.1.1
GREEKS IN MONTE CARLO 347 8.1.2 MONTE CARLO FOR CALLABLE OPTIONS 349
8.1.3 TWO ASSETS 350 8.1.4 THREE ASSETS 352 8.1.5 N ASSETS, CHOLESKY
DECOMPOSITION 353 8.2 MONTE CARLO OF MEAN REVERSION 355 8.3 GENERATING
PSEUDO-RANDOM NUMBERS 356 8.4 VARIANCE REDUCTION TECHNIQUES 358 8.4.1
ANTITHETIC VARIANCE REDUCTION 358 8.4.2 IQ-MC/IMPORTANCE SAMPLING 359
8.4.3 IQ-MC TWO CORRELATED ASSETS 361 8.4.4 QUASI-RANDOM MONTE CARLO 362
8.5 AMERICAN OPTION MONTE CARLO 364 9 OPTIONS ON STOCKS THAT PAY
DISCRETE DIVIDENDS 367 9.1 EUROPEAN OPTIONS ON STOCK WITH DISCRETE CASH
DIVIDEND 368 9.1.1 THE ESCROWED DIVIDEND MODEL 368 9.1.2 SIMPLE
VOLATILITY ADJUSTMENT 369 9.1.3 HAUG-HAUG VOLATILITY ADJUSTMENT 369
9.1.4 BOS-GAIRAT-SHEPELEVA VOLATILITY ADJUSTMENT ...370 9.1.5
BOS-VANDERMARK 371 9.2 NON-RECOMBININGTREE 372 9.3 BLACK S METHOD FOR
CALLS ON STOCKS WITH KNOWN DIVIDENDS 375 9.4 THE ROLL, GESKE, AND WHALEY
MODEL 375 9.5 BENCHMARK MODEL FOR DISCRETE CASH DIVIDEND 378 9.5.1 A
SINGLE DIVIDEND 378 9.5.2 MULTIPLE DIVIDENDS 382 XIV CONTENTS 9.5.3
APPLICATIONS . 382 9.6 OPTIONS ON STOCKS WITH DISCRETE DIVIDEND YIELD
390 9.6.1 EUROPEAN WITH DISCRETE DIVIDEND YIELD 390 9.6.2 CLOSED-FORM
AMERICAN CALL 390 9.6.3 RECOMBINING TREE MODEL 393 10 COMMODITY AND
ENERGY OPTIONS 397 10.1 ENERGY SWAPS/FORWARDS 397 10.2 ENERGY OPTIONS
400 10.2.1 OPTIONS ON FORWARDS, BLACK-76F 400 10.2.2 ENERGY SWAPTIONS
401 . 10.2.3 HYBRID PAYOFF ENERGY SWAPTIONS 405 10.3 THE
MILTERSEN-SCHWARTZ MODEL 406 10.4 MEAN REVERSION MODEL 410 10.5
SEASONALITY 411 11 INTEREST RATE DERIVATIVES 413 11.1 FRAS AND MONEY
MARKET INSTRUMENTS 413 11.1.1 FRAS FROM CASH DEPOSITS 413 11.1.2 THE
RELATIONSHIP BETWEEN FRAS AND CURRENCY-FORWARDS 414 11.1.3 CONVEXITY
ADJUSTMENT MONEY MARKET FUTURES. . 415 11.2 SIMPLE BOND MATHEMATICS 417
11.2.1 DIRTY AND CLEAN BOND PRICE 417 11.2.2 CURRENT YIELD 417 11.2.3
MODIFIED DURATION AND BPV 417 11.2.4 BOND PRICE AND YIELD RELATIONSHIP
418 11.2.5 PRICE AND YIELD RELATIONSHIP FOR A BOND 418 11.2.6 FROM BOND
PRICE TO YIELD 419 11.3 PRICING INTEREST RATE OPTIONS USING BLACK-76 419
11.3.1 OPTIONS ON MONEY MARKET FUTURES 420 11.3.2 PRICE AND YIELD
VOLATILITY IN MONEY MARKET FUTURES 421 11.3.3 CAPS AND FLOORS 421 11.3.4
SWAPTIONS 422 11.3.5 SWAPTION VOLATILITIES FROM CAPS OR FRA VOLATILITIES
424 11.3.6 SWAPTIONS WITH STOCHASTIC VOLATILITY 425 11.3.7 CONVEXITY
ADJUSTMENTS 425 11.3.8 EUROPEAN SHORT-TERM BOND OPTIONS 427 11.3.9
FROM PRICE TO YIELD VOLATILITY IN BONDS 428 11.3.10 THE SCHAEFER AND
SCHWARTZ MODEL 428 11.4 ONE-FACTOR TERM STRUCTURE MODELS 429 11.4.1 THE
RENDLEMAN AND BARTTER MODEL 429 11.4.2 THE VASICEK MODEL 430 CONTENTS XV
11.4.3 THE HO AND LEE MODEL 432 11.4.4 THE HULL AND WHITE MODEL 433
11.4.5 THE BLACK-DERMAN-TOY MODEL 434 12 VOLATILITY AND CORRELATION 445
12.1 HISTORICAL VOLATILITY 445 12.1.1 HISTORICAL VOLATILITY FROM CLOSE
PRICES 445 12.1.2 HIGH-LOW VOLATILITY 447 12.1.3 HIGH-LOW-CLOSE
VOLATILITY 448 . 12.1.4 EXPONENTIAL WEIGHTED HISTORICAL VOLATILITY 449
12.1.5 FROM ANNUAL VOLATILITY TO DAILY VOLATILITY 450 12.1.6 CONFIDENCE
INTERVALS FOR THE VOLATILITY ESTIMATE . 451 12.1.7 VOLATILITY CONES 452
12.2 IMPLIED VOLATILITY 453 12.2.1 THE NEWTON-RAPHSON METHOD 453 12.2.2
THE BISECTION METHOD 455 12.2.3 IMPLIED VOLATILITY APPROXIMATIONS 456
12.2.4 IMPLIED FORWARD VOLATILITY 458 12.2.5 FROM IMPLIED VOLATILITY
SURFACE TO LOCAL VOLATILITY SURFACE 458 12.3 CONFIDENCE INTERVAL FOR THE
ASSET PRICE . 459 12.4 BASKET VOLATILITY 460 12.5 HISTORICAL CORRELATION
460 12.5.1 DISTRIBUTION OF HISTORICAL CORRELATION COEFFICIENT 461 12.6
IMPLIED CORRELATIONS , 462 12.6.1 IMPLIED CORRELATION FROM CURRENCY
OPTIONS .... 462 12.6.2 AVERAGE IMPLIED INDEX CORRELATION 462 12.7
VARIOUS FORMULAS 463 12.7.1 PROBABILITY OF HIGH OR LOW, THE ARCTANGENT
RULE 463 12.7.2 SIEGEL S PARADOX AND VOLATILITY RATIO EFFECT 464 13
DISTRIBUTIONS 465 13.1 THE CUMULATIVE NORMAL DISTRIBUTION FUNCTION 465
13.1.1 THE HART ALGORITHM 465 13.1.2 POLYNOMIAL APPROXIMATIONS 467 13.2
THE INVERSE CUMULATIVE NORMAL DISTRIBUTION FUNCTION 469 13.3 THE
BIVARIATE NORMAL DENSITY FUNCTION 470 13.3.1 THE CUMULATIVE BIVARIATE
NORMAL DISTRIBUTION FUNCTION 470 13.4 THE TRIVARIATE CUMULATIVE NORMAL
DISTRIBUTION FUNCTION 482
|
| adam_txt |
CONTENTS INTRODUCTION XVII ACKNOWLEDGMENTS '. XIX WHAT IS NEW IN THE
SECOND EDITION? XXI OPTION PRICING FORMULAS OVERVIEW XXIII GLOSSARY OF
NOTATIONS XXXV 1 BLACK-SCHOLES-MERTON 1 1.1 BLACK-SCHOLES-MERTON 2 1.1.1
THE BLACK-SCHOLES OPTION PRICING FORMULA . 2 1.1.2 OPTIONS ON STOCK
INDEXES 4 1.1.3 OPTIONS ON FUTURES 4 1.1.4 MARGINED OPTIONS ON FUTURES 5
1.1.5 CURRENCY OPTIONS 6 1:1.6 THE GENERALIZED BLACK-SCHOLES-MERTON
OPTION PRICING FORMULA 7 1.2 PARITIES AND SYMMETRIES 9 1.2.1 PUT-CALL
PARITY FOR EUROPEAN OPTIONS 9 1.2.2 AT-THE-MONEY FORWARD VALUE SYMMETRY
10 1.2.3 PUT-CALL SYMMETRY 10 1.2.4 PUT-CALL SUPERSYMMETRY 11 1.2.5
BLACK-SCHOLES-MERTON ON VARIANCE FORM 11 1.3 BEFORE BLACK-SCHOLES-MERTON
12 1.3.1 THE BACHELIER MODEL 12 1.3.2 THE SPRENKLE MODEL 13 1.3.3 THE
BONESS MODEL 14 1.3.4 THE SAMUELSON MODEL 14 1.4 APPENDIX A: THE
BLACK-SCHOLES-MERTON PDE 15 VII VIII CONTENTS 1.4.1 ITO'S LEMMA 15 1.4.2
DYNAMIC HEDGING 16 2 BLACK-SCHOLES-MERTON GREEKS 21 2.1 DELTA GREEKS 21
2.1.1 DELTA 21 2.1.2 DELTA MIRROR STRIKES AND ASSETS 29 2.1.3 STRIKE
FROM DELTA 30 2.1.4 FUTURES DELTA FROM SPOT DELTA 31 2.1.5 DDELTADVOL
AND DVEGADSPOT 32 2.1.6 DVANNADVOL 34 2.1.7 DDELTADTIME, CHARM 35 2.1.8
ELASTICITY 36 2.2 GAMMA GREEKS 38 . 2.2.1 GAMMA 38 2.2.2 MAXIMAL GAMMA
AND THE ILLUSIONS OF RISK 39 2.2.3 GAMMAP 42 2.2.4 GAMMA SYMMETRY 45
2.2.5 DGAMMADVOL, ZOMMA 45 2.2.6 DGAMMADSPOT, SPEED 47 2.2.7
DGAMMADTIME, COLOR 49 2.3 VEGA GREEKS 50 2.3.1 VEGA 50 2.3.2 VEGA
SYMMETRY 55 2.3.3 VEGA-GAMMA RELATIONSHIP 55 2.3.4 VEGA FROM DELTA 56
2.3.5 VEGAP 56 2.3.6 VEGA LEVERAGE, VEGA ELASTICITY 57 2.3.7 DVEGADVOL,
VOMMA 57 2.3.8 DVOMMADVOL, ULTIMA , 60 2.3.9 DVEGADTIME 61 2.4 VARIANCE
GREEKS 62 2.4.1 VARIANCE VEGA 62 2.4.2 DDELTADVAR 63 2.4.3 VARIANCE
VOMMA 63 2.4.4 VARIANCE ULTIMA 63 2.5 VOLATILITY-TIME GREEKS 64 . 2.6
THETA GREEKS 64 I 2.6.1 THETA 64 2.6.2 THETA SYMMETRY 68 2.7 RHO GREEKS
68 2.7.1 RHO 68 2.7.2 PHI/RHO-2 71 2.7.3 CARRY RHO 73 CONTENTS IX 2.8
PROBABILITY GREEKS 75 2.8.1. IN-THE-MONEY PROBABILITY 76 2.8.2 DZETADVOL
79 2.8.3 DZETADTIME 80 2.8.4 RISK-NEUTRAL PROBABILITY DENSITY 80 2.8.5
FROM IN-THE-MONEY PROBABILITY TO DENSITY 80 2.8.6 PROBABILITY OF EVER
GETTING IN-THE-MONEY 80 2.9 GREEKS AGGREGATIONS 81 2.9.1 NET WEIGHTED
VEGA EXPOSURE 82 2.10 AT-THE-MONEY FORWARD APPROXIMATIONS 84 2.10.1
APPROXIMATION OF THE BLACK-SCHOLES-MERTON FORMULA . 84 2.10.2 DELTA . .
. . 84 2.10.3 GAMMA 84 2.10.4 VEGA 84 2.10.5 THETA 84 2.10.6 RHO 85
2.10.7 COST-OF-CARRY 85 2.11 NUMERICAL GREEKS 85 2.11.1 FIRST-ORDER
GREEKS 85 2.11.2 SECOND-ORDER GREEKS 86 2.11.3 THIRD-ORDER GREEKS 86
2.11.4 MIXED GREEKS 87 2.11.5 THIRD-ORDER MIXED GREEKS 87 2.12 GREEKS
FROM CLOSED-FORM APPROXIMATIONS 89 2.13 APPENDIX B: TAKING PARTIAL
DERIVATIVES 90 3 ANALYTICAL FORMULAS FOR AMERICAN OPTIONS 97 3.1 THE
BARONE-ADESI AND WHALEY APPROXIMATION 97 3.2 THE BJERKSUND AND STENSLAND
(1993) APPROXIMATION . . 101 3.3 THE BJERKSUND AND STENSLAND (2002)
APPROXIMATION . . 104 3.4 PUT-CALL TRANSFORMATION AMERICAN OPTIONS 109
3.5 AMERICAN PERPETUAL OPTIONS 109 4 EXOTIC OPTIONS*SINGLE A.SSET . ILL
4.1 VARIABLE PURCHASE OPTIONS ILL 4.2 EXECUTIVE STOCK OPTIONS 114 4.3
MONEYNESS OPTIONS 114 4.4 POWER CONTRACTS AND POWER OPTIONS 115 4.4.1
POWER CONTRACTS 115 4.4.2 STANDARD POWER OPTION 116 4.4.3 CAPPED POWER
OPTION 117 4.4.4 POWERED OPTION 118 4.5 LOG CONTRACTS 119 4.5.1 LOG(S)
CONTRACT 120 CONTENTS 4.5.2 LOGOPTION V. 121 4.6 FORWARD START OPTIONS
121 4.7 FADE-IN OPTION 122 4.8 RATCHET OPTIONS 124 4.9 RESET STRIKE
OPTIONS*TYPE 1 124 4.10 RESET STRIKE OPTIONS*TYPE 2 125 4.11 TIME-SWITCH
OPTIONS 127 4.12 CHOOSER OPTIONS 128 4.12.1 SIMPLE CHOOSER OPTIONS 128
4.12.2 COMPLEX CHOOSER OPTIONS 129 4.13 OPTIONS ON OPTIONS 132 4.13.1
PUT-CALL PARITY COMPOUND OPTIONS 135 4.13.2 COMPOUND OPTION
APPROXIMATION . . . 136 4.14 OPTIONS WITH EXTENSIBLE MATURITIES 138
4.14.1 OPTIONS THAT CAN BE EXTENDED BY THE HOLDER . . 138 ' 4.14.2
WRITER-EXTENDIBLE OPTIONS: 140 4.15 LOOKBACK OPTIONS 141 4.15.1
FLOATING-STRIKE LOOKBACK OPTIONS 141 4.15.2 FIXED-STRIKE LOOKBACK
OPTIONS 143 4.15.3 PARTIAL-TIME FLOATING-STRIKE LOOKBACK OPTIONS 144
4.15.4 PARTIAL-TIME FIXED-STRIKE LOOKBACK OPTIONS . 147 4.15.5
EXTREME-SPREAD OPTIONS 148 4.16 MIRROR OPTIONS 150 4.17 BARRIER OPTIONS
152 4.17.1 STANDARD BARRIER OPTIONS 152 4.17.2 STANDARD AMERICAN BARRIER
OPTIONS 154 4.17.3 DOUBLE-BARRIER OPTIONS ; 156 4.17.4 PARTIAL-TIME
SINGLE-ASSET BARRIER OPTIONS 160 4.17.5 LOOK-BARRIER OPTIONS 163 4.17.6
DISCRETE-BARRIER OPTIONS 164 4.17.7 SOFT-BARRIER OPTIONS 165 4.17.8 USE
OF PUT-CALL SYMMETRY FOR BARRIER OPTIONS . . 167 4.18 BARRIER OPTION
SYMMETRIES 168 4.18.1 FIRST-THEN-BARRIER OPTIONS 169 4.18.2
DOUBLE-BARRIER OPTION USING BARRIER SYMMETRY 171 4.18.3 DUAL
DOUBLE-BARRIER OPTIONS 172 4.19 BINARY OPTIONS 174 * 4.19.1 GAP OPTIONS
174 4.19.2 CASH-OR-NOTHING OPTIONS 174 4.19.3 ASSET-OR-NOTHING OPTIONS
175 4.19.4 SUPERSHARE OPTIONS 176 4.19.5 BINARY BARRIER OPTIONS 176
4.19.6 DOUBLE-BARRIER BINARY OPTIONS 180 CONTENTS XI 4.19.7
DOUBLE-BARRIER BINARY ASYMMETRICAL 181 4.20 ASIAN OPTIONS 182 4.20.1
GEOMETRIC AVERAGE-RATE OPTIONS 182 4.20.2 ARITHMETIC AVERAGE-RATE
OPTIONS . 186 4.20.3 DISCRETE ARITHMETIC AVERAGE-RATE OPTIONS 192 4.20.4
EQUIVALENCE OF FLOATING-STRIKE AND FIXED-STRIKE ASIAN OPTIONS 199 4.20.5
ASIAN OPTIONS WITH VOLATILITY TERM-STRUCTURE . . 199 5 EXOTIC OPTIONS ON
TWO ASSETS 203 5.1 RELATIVE OUTPERFORMANCE OPTIONS 203 5.2 PRODUCT
OPTIONS 205 5.3 TWO-ASSET CORRELATION OPTIONS 205 5.4
EXCHANGE-ONE-ASSET-FOR-ANOTHER OPTIONS 206 5.5 AMERICAN
EXCHANGE-ONE-ASSET-FOR-ANOTHER OPTION . . . 208 5.6 EXCHANGE OPTIONS ON
EXCHANGE OPTIONS 209 5.7 OPTIONS ON THE MAXIMUM OR THE MINIMUM OF TWO
RISKY ASSETS 211 5.8 SPREAD-OPTION APPROXIMATION 213 5.9 TWO-ASSET
BARRIER OPTIONS 215 5.10 PARTIAL-TIME TWO-ASSET BARRIER OPTIONS 217 5.11
MARGRABE BARRIER OPTIONS 219 5.12 DISCRETE-BARRIER OPTIONS 221 5.13
TWO-ASSET CASH-OR-NOTHING OPTIONS 221 5.14 BEST OR WORST CASH-OR-NOTHING
OPTIONS 223 5.15 OPTIONS ON THE MINIMUM OR MAXIMUM OF TWO AVERAGES 224
5.16 CURRENCY-TRANSLATED OPTIONS 226 5.16.1 FOREIGN EQUITY OPTIONS
STRUCK IN DOMESTIC CURRENCY 226 5.16.2 FIXED EXCHANGE RATE FOREIGN
EQUITY OPTIONS . . 228 5.16.3 EQUITY LINKED FOREIGN EXCHANGE OPTIONS 230
5.16.4 TAKEOVER FOREIGN EXCHANGE OPTIONS ; . . 232 5.17 GREEKS FOR
TWO-ASSET OPTIONS 232 6 BLACK-SCHOLES-MERTON ADJUSTMENTS AND
ALTERNATIVES 233 6.1 THE BLACK-SCHOLES-MERTON MODEL WITH DELAYED
SETTLEMENT 234 6.2 THE BLACK-SCHOLES-MERTON MODEL ADJUSTED FOR TRADING
DAY VOLATILITY 235 6.3 DISCRETE HEDGING 236 6.3.1 HEDGINGERROR 236 6.3.2
DISCRETE-TIME OPTION VALUATION AND DELTA HEDGING 237 6.3.3 DISCRETE-TIME
HEDGING WITH TRANSACTION COST . . 238 XII CONTENTS 6.4 OPTION PRICING IN
TRENDING MARKETS 240 6.5 ALTERNATIVE STOCHASTIC PROCESSES 242 6.6
CONSTANT ELASTICITY OF VARIANCE 242 6.7 SKEWNESS-KURTOSIS MODELS 244
6.7.1 DEFINITION OF SKEWNESS AND KURTOSIS 244 6.7.2 THE SKEWNESS AND
KURTOSIS FOR A LOGNORMAL DISTRIBUTION 245 6.7.3 JARROW AND RUDD SKEWNESS
AND KURTOSIS MODEL 246 6.7.4 THE CORRADO AND SU SKEWNESS AND KURTOSIS
MODEL 247 6.7.5 MODIFIED CORRADO-SU SKEWNESS-KURTOSIS MODEL . 250 6.7.6
SKEWNESS-KURTOSIS PUT-CALL SUPERSYMMETRY . . . 252 6.7.7
SKEWNESS-KURTOSIS EQUIVALENT BLACK-SCHOLES-MERTON VOLATILITY 252 . 6.7.8
GRAM CHARLIER DENSITY 252 6.7.9 SKEWNESS-KURTOSIS TREES. 253 6.8 PASCAL
DISTRIBUTION AND OPTION PRICING 253 6.9 JUMP-DIFFUSION MODELS 253 6.9.1
THE MERTON JUMP-DIFFUSION MODEL 253 6.9.2 BATES GENERALIZED
JUMP-DIFFUSION MODEL 255 6.10 STOCHASTIC VOLATILITY MODELS 258 6.10.1
HULL-WHITE UNCORRELATED STOCHASTIC VOLATILITY MODEL ,.259 6.10.2
HULL-WHITE CORRELATED STOCHASTIC VOLATILITY MODEL 261 6.10.3 THE SABR
MODEL 265 6.11 VARIANCE AND VOLATILITY SWAPS 271 6.11.1 VARIANCE SWAPS
271 6.11.2 VOLATILITY SWAPS 274 6.12 MORE INFORMATION 278 7 TREES AND
FINITE DIFFERENCE METHODS 279 7.1 BINOMIAL OPTION PRICING 279 7.1.1
COX-ROSS-RUBINSTEIN AMERICAN BINOMIAL TREE . . 284 7.1.2' GREEKS IN CRR
BINOMIAL TREE 287 7.1.3 RENDLEMAN BARTTER BINOMIAL TREE . 289 7.1.4
LEISEN-REIMER BINOMIAL TREE 290 7.1.5 CONVERTIBLE BONDS IN BINOMIAL
TREES 292 7*2 BINOMIAL MODEL WITH SKEWNESS AND KURTOSIS 297 7.3
TRINOMIAL TREES 299 7.4 EXOTIC OPTIONS IN TREE MODELS 303 7.4.1 OPTIONS
ON OPTIONS 303 7.4.2 BARRIER OPTIONS USING BROWNIAN BRIDGE PROBABILITIES
305 CONTENTS XM 7.4.3 AMERICAN BARRIER OPTIONS IN CRR BINOMIAL TREE 307
7.4.4 EUROPEAN RESET OPTIONS BINOMIAL 308 7.4.5 AMERICAN ASIAN OPTIONS
IN A TREE . 314 7.5 THREE-DIMENSIONAL BINOMIAL TREES 315 7.6 IMPLIED
TREE MODELS 321 7.6.1 IMPLIED BINOMIAL TREES 321 7.6.2 IMPLIED TRINOMIAL
TREES 327 7.7 FINITE DIFFERENCE METHODS 334 7.7.1 EXPLICIT FINITE
DIFFERENCE 335 7.7.2 IMPLICIT FINITE DIFFERENCE 338 7.7.3 FINITE
DIFFERENCE IN LN(S) 340 7.7.4 THE CRANK-NICOLSON METHOD 342 8 MONTE
CARLO SIMULATION 345 8.1 STANDARD MONTE CARLO SIMULATION 345 8.1.1
GREEKS IN MONTE CARLO 347 8.1.2 MONTE CARLO FOR CALLABLE OPTIONS 349
8.1.3 TWO ASSETS 350 8.1.4 THREE ASSETS 352 8.1.5 N ASSETS, CHOLESKY
DECOMPOSITION 353 8.2 MONTE CARLO OF MEAN REVERSION 355 8.3 GENERATING
PSEUDO-RANDOM NUMBERS 356 8.4 VARIANCE REDUCTION TECHNIQUES 358 8.4.1
ANTITHETIC VARIANCE REDUCTION 358 8.4.2 IQ-MC/IMPORTANCE SAMPLING 359
8.4.3 IQ-MC TWO CORRELATED ASSETS 361 8.4.4 QUASI-RANDOM MONTE CARLO 362
8.5 AMERICAN OPTION MONTE CARLO 364 9 OPTIONS ON STOCKS THAT PAY
DISCRETE DIVIDENDS 367 9.1 EUROPEAN OPTIONS ON STOCK WITH DISCRETE CASH
DIVIDEND 368 9.1.1 THE ESCROWED DIVIDEND MODEL 368 9.1.2 SIMPLE
VOLATILITY ADJUSTMENT 369 9.1.3 HAUG-HAUG VOLATILITY ADJUSTMENT 369
9.1.4 BOS-GAIRAT-SHEPELEVA VOLATILITY ADJUSTMENT .370 9.1.5
BOS-VANDERMARK 371 9.2 NON-RECOMBININGTREE 372 9.3 BLACK'S METHOD FOR
CALLS ON STOCKS WITH KNOWN DIVIDENDS 375 9.4 THE ROLL, GESKE, AND WHALEY
MODEL 375 9.5 BENCHMARK MODEL FOR DISCRETE CASH DIVIDEND 378 9.5.1 A
SINGLE DIVIDEND 378 9.5.2 MULTIPLE DIVIDENDS 382 XIV CONTENTS 9.5.3
APPLICATIONS . 382 9.6 OPTIONS ON STOCKS WITH DISCRETE DIVIDEND YIELD
390 9.6.1 EUROPEAN WITH DISCRETE DIVIDEND YIELD 390 9.6.2 CLOSED-FORM
AMERICAN CALL 390 9.6.3 RECOMBINING TREE MODEL 393 10 COMMODITY AND
ENERGY OPTIONS 397 10.1 ENERGY SWAPS/FORWARDS 397 10.2 ENERGY OPTIONS
400 10.2.1 OPTIONS ON FORWARDS, BLACK-76F 400 10.2.2 ENERGY SWAPTIONS
401 . 10.2.3 HYBRID PAYOFF ENERGY SWAPTIONS 405 10.3 THE
MILTERSEN-SCHWARTZ MODEL 406 10.4 MEAN REVERSION MODEL 410 10.5
SEASONALITY 411 11 INTEREST RATE DERIVATIVES 413 11.1 FRAS AND MONEY
MARKET INSTRUMENTS 413 11.1.1 FRAS FROM CASH DEPOSITS 413 11.1.2 THE
RELATIONSHIP BETWEEN FRAS AND CURRENCY-FORWARDS 414 11.1.3 CONVEXITY
ADJUSTMENT MONEY MARKET FUTURES. . 415 11.2 SIMPLE BOND MATHEMATICS 417
11.2.1 DIRTY AND CLEAN BOND PRICE 417 11.2.2 CURRENT YIELD 417 11.2.3
MODIFIED DURATION AND BPV 417 11.2.4 BOND PRICE AND YIELD RELATIONSHIP
418 11.2.5 PRICE AND YIELD RELATIONSHIP FOR A BOND 418 11.2.6 FROM BOND
PRICE TO YIELD 419 11.3 PRICING INTEREST RATE OPTIONS USING BLACK-76 419
11.3.1 OPTIONS ON MONEY MARKET FUTURES 420 11.3.2 PRICE AND YIELD
VOLATILITY IN MONEY MARKET FUTURES 421 11.3.3 CAPS AND FLOORS 421 11.3.4
SWAPTIONS 422 11.3.5 SWAPTION VOLATILITIES FROM CAPS OR FRA VOLATILITIES
424 11.3.6 SWAPTIONS WITH STOCHASTIC VOLATILITY 425 11.3.7 CONVEXITY
ADJUSTMENTS 425 ' 11.3.8 EUROPEAN SHORT-TERM BOND OPTIONS 427 11.3.9
FROM PRICE TO YIELD VOLATILITY IN BONDS 428 11.3.10 THE SCHAEFER AND
SCHWARTZ MODEL 428 11.4 ONE-FACTOR TERM STRUCTURE MODELS 429 11.4.1 THE
RENDLEMAN AND BARTTER MODEL 429 11.4.2 THE VASICEK MODEL 430 CONTENTS XV
11.4.3 THE HO AND LEE MODEL 432 11.4.4 THE HULL AND WHITE MODEL 433
11.4.5 THE BLACK-DERMAN-TOY MODEL 434 12 VOLATILITY AND CORRELATION 445
12.1 HISTORICAL VOLATILITY 445 12.1.1 HISTORICAL VOLATILITY FROM CLOSE
PRICES 445 12.1.2 HIGH-LOW VOLATILITY 447 12.1.3 HIGH-LOW-CLOSE
VOLATILITY 448 . 12.1.4 EXPONENTIAL WEIGHTED HISTORICAL VOLATILITY 449
12.1.5 FROM ANNUAL VOLATILITY TO DAILY VOLATILITY 450 12.1.6 CONFIDENCE
INTERVALS FOR THE VOLATILITY ESTIMATE . 451 12.1.7 VOLATILITY CONES 452
12.2 IMPLIED VOLATILITY 453 12.2.1 THE NEWTON-RAPHSON METHOD 453 12.2.2
THE BISECTION METHOD 455 12.2.3 IMPLIED VOLATILITY APPROXIMATIONS 456
12.2.4 IMPLIED FORWARD VOLATILITY 458 12.2.5 FROM IMPLIED VOLATILITY
SURFACE TO LOCAL VOLATILITY SURFACE 458 12.3 CONFIDENCE INTERVAL FOR THE
ASSET PRICE . 459 12.4 BASKET VOLATILITY 460 12.5 HISTORICAL CORRELATION
460 12.5.1 DISTRIBUTION OF HISTORICAL CORRELATION COEFFICIENT 461 12.6
IMPLIED CORRELATIONS , 462 12.6.1 IMPLIED CORRELATION FROM CURRENCY
OPTIONS . 462 12.6.2 AVERAGE IMPLIED INDEX CORRELATION 462 12.7
VARIOUS FORMULAS 463 12.7.1 PROBABILITY OF HIGH OR LOW, THE ARCTANGENT
RULE 463 12.7.2 SIEGEL'S PARADOX AND VOLATILITY RATIO EFFECT 464 13
DISTRIBUTIONS 465 13.1 THE CUMULATIVE NORMAL DISTRIBUTION FUNCTION 465
13.1.1 THE HART ALGORITHM 465 13.1.2 POLYNOMIAL APPROXIMATIONS 467 13.2
THE INVERSE CUMULATIVE NORMAL DISTRIBUTION FUNCTION 469 13.3 THE
BIVARIATE NORMAL DENSITY FUNCTION 470 13.3.1 THE CUMULATIVE BIVARIATE
NORMAL DISTRIBUTION FUNCTION 470 13.4 THE TRIVARIATE CUMULATIVE NORMAL
DISTRIBUTION FUNCTION 482 |
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| author | Haug, Espen Gaarder |
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| dewey-full | 332.63/2283 |
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| dewey-ones | 332 - Financial economics |
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| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 2. ed. |
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| id | DE-604.BV022464875 |
| illustrated | Illustrated |
| index_date | 2024-07-02T17:41:53Z |
| indexdate | 2024-07-09T20:58:10Z |
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| isbn | 9780071477345 9780071389976 0071477349 0071389970 |
| language | English |
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| publisher | McGraw-Hill |
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| spelling | Haug, Espen Gaarder Verfasser aut The complete guide to option pricing formulas Espen Gaarder Haug 2. ed. New York [u.a.] McGraw-Hill 2007 XXXVII, 536 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Modèle d'évaluation du prix de l'option rasuqam Option (Finances) rasuqam Prix de l'option rasuqam Mathematisches Modell Options (Finance) Mathematical models Software Options (Finance) Prices Optionspreis (DE-588)4115453-8 gnd rswk-swf Formel (DE-588)4133595-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Guide (Descripteur de forme) Optionspreis (DE-588)4115453-8 s Preisbildung (DE-588)4047103-2 s Formel (DE-588)4133595-8 s DE-604 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015672477&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Haug, Espen Gaarder The complete guide to option pricing formulas Modèle d'évaluation du prix de l'option rasuqam Option (Finances) rasuqam Prix de l'option rasuqam Mathematisches Modell Options (Finance) Mathematical models Software Options (Finance) Prices Optionspreis (DE-588)4115453-8 gnd Formel (DE-588)4133595-8 gnd Preisbildung (DE-588)4047103-2 gnd |
| subject_GND | (DE-588)4115453-8 (DE-588)4133595-8 (DE-588)4047103-2 |
| title | The complete guide to option pricing formulas |
| title_auth | The complete guide to option pricing formulas |
| title_exact_search | The complete guide to option pricing formulas |
| title_exact_search_txtP | The complete guide to option pricing formulas |
| title_full | The complete guide to option pricing formulas Espen Gaarder Haug |
| title_fullStr | The complete guide to option pricing formulas Espen Gaarder Haug |
| title_full_unstemmed | The complete guide to option pricing formulas Espen Gaarder Haug |
| title_short | The complete guide to option pricing formulas |
| title_sort | the complete guide to option pricing formulas |
| topic | Modèle d'évaluation du prix de l'option rasuqam Option (Finances) rasuqam Prix de l'option rasuqam Mathematisches Modell Options (Finance) Mathematical models Software Options (Finance) Prices Optionspreis (DE-588)4115453-8 gnd Formel (DE-588)4133595-8 gnd Preisbildung (DE-588)4047103-2 gnd |
| topic_facet | Modèle d'évaluation du prix de l'option Option (Finances) Prix de l'option Mathematisches Modell Options (Finance) Mathematical models Software Options (Finance) Prices Optionspreis Formel Preisbildung Guide (Descripteur de forme) |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015672477&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT haugespengaarder thecompleteguidetooptionpricingformulas |