03151nam 2200709 a 450 991102036100332120230721025846.0978661082713897811184292041118429206978111920209711192020949781280827136128082713097804701257550470125756(CKB)1000000000354493(EBL)290290(OCoLC)299750758(SSID)ssj0000215809(PQKBManifestationID)11216871(PQKBTitleCode)TC0000215809(PQKBWorkID)10185136(PQKB)10140328(MiAaPQ)EBC290290(FR-PaCSA)88944627(FRCYB88944627)88944627(Perlego)1009593(EXLCZ)99100000000035449320060922d2007 uy 0engur|n|---|||||txtccrOption pricing models and volatility using Excel-VBA /Fabrice Douglas Rouah, Gregory VainbergHoboken, N.J. John Wiley & Sonsc20071 online resource (457 p.)Wiley financeDescription based upon print version of record.9780471794646 0471794643 Includes bibliographical references (p. 409-412) and index.Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.Praise for Option Pricing Models & Volatility Using Excel-VBA""Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers.""--Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University""This book is filled with methodology and techniques on how to implement option pricing and volatility mWiley finance series.Options (Finance)PricesCapital investmentsEvaluationMathematical modelsOptions (Finance)Mathematical modelsOptions (Finance)Prices.Capital investmentsEvaluationMathematical models.Options (Finance)Mathematical models.332.6453Rouah Fabrice1964-889236Vainberg Gregory1978-1841752MiAaPQMiAaPQMiAaPQBOOK9911020361003321Option pricing models and volatility using Excel-VBA4421592UNINA