The Black-Scholes Model.:
Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge :
Cambridge University Press,
2012.
|
| Schriftenreihe: | Mastering mathematical finance.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model. |
| Beschreibung: | 1 online resource (180 pages) |
| ISBN: | 9781139570756 1139570757 9781139026130 1139026135 9781139568944 1139568949 1139572504 9781139572507 6613950092 9786613950093 1283637634 9781283637633 9781107001695 1107001692 |
Internformat
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| 520 | |a Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model. | ||
| 505 | 0 | |a Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem -- simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing. | |
| 505 | 8 | |a General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options. | |
| 505 | 8 | |a Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index. | |
| 650 | 0 | |a Options (Finance) |x Prices |x Mathematical models. | |
| 650 | 6 | |a Options (Finances) |x Prix |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
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| _version_ | 1816796906155671552 |
| adam_text | |
| any_adam_object | |
| author | Capiński, Marek, 1951- |
| author2 | Kopp, P. E., 1944- |
| author2_role | |
| author2_variant | p e k pe pek |
| author_GND | http://id.loc.gov/authorities/names/n94114984 http://id.loc.gov/authorities/names/n83133988 |
| author_facet | Capiński, Marek, 1951- Kopp, P. E., 1944- |
| author_role | |
| author_sort | Capiński, Marek, 1951- |
| author_variant | m c mc |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 C364 2013 |
| callnumber-search | HG6024.A3 C364 2013 |
| callnumber-sort | HG 46024 A3 C364 42013 |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBU |
| contents | Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem -- simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing. General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options. Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index. |
| ctrlnum | (OCoLC)815389296 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.64/53 332.6453 |
| dewey-sort | 3332.64 253 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| indexdate | 2024-11-26T14:49:07Z |
| institution | BVB |
| isbn | 9781139570756 1139570757 9781139026130 1139026135 9781139568944 1139568949 1139572504 9781139572507 6613950092 9786613950093 1283637634 9781283637633 9781107001695 1107001692 |
| language | English |
| oclc_num | 815389296 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (180 pages) |
| psigel | ZDB-4-EBU |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Cambridge University Press, |
| record_format | marc |
| series | Mastering mathematical finance. |
| series2 | Mastering Mathematical Finance |
| spelling | Capiński, Marek, 1951- http://id.loc.gov/authorities/names/n94114984 The Black-Scholes Model. Cambridge : Cambridge University Press, 2012. 1 online resource (180 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier Mastering Mathematical Finance Print version record. Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model. Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem -- simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing. General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options. Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index. Options (Finance) Prices Mathematical models. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Opciones (Finanzas) Modelos matemáticos embucm Options (Finance) Prices Mathematical models fast Kopp, P. E., 1944- http://id.loc.gov/authorities/names/n83133988 Print version: 9781107001695 Mastering mathematical finance. http://id.loc.gov/authorities/names/no2012083164 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=480389 Volltext |
| spellingShingle | Capiński, Marek, 1951- The Black-Scholes Model. Mastering mathematical finance. Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem -- simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing. General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options. Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index. Options (Finance) Prices Mathematical models. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Opciones (Finanzas) Modelos matemáticos embucm Options (Finance) Prices Mathematical models fast |
| title | The Black-Scholes Model. |
| title_auth | The Black-Scholes Model. |
| title_exact_search | The Black-Scholes Model. |
| title_full | The Black-Scholes Model. |
| title_fullStr | The Black-Scholes Model. |
| title_full_unstemmed | The Black-Scholes Model. |
| title_short | The Black-Scholes Model. |
| title_sort | black scholes model |
| topic | Options (Finance) Prices Mathematical models. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Opciones (Finanzas) Modelos matemáticos embucm Options (Finance) Prices Mathematical models fast |
| topic_facet | Options (Finance) Prices Mathematical models. Options (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. Opciones (Finanzas) Modelos matemáticos Options (Finance) Prices Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=480389 |
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