LEADER 04461nam 2200733Ia 450 001 9910821032803321 005 20200520144314.0 010 $a1-316-08924-X 010 $a1-139-57933-9 010 $a1-283-63763-4 010 $a1-139-56984-8 010 $a1-107-25412-4 010 $a1-139-57250-4 010 $a1-139-02613-5 010 $a1-139-56894-9 010 $a1-139-57075-7 035 $a(CKB)2670000000261196 035 $a(EBL)1025023 035 $a(OCoLC)815389296 035 $a(SSID)ssj0000722477 035 $a(PQKBManifestationID)11384258 035 $a(PQKBTitleCode)TC0000722477 035 $a(PQKBWorkID)10695388 035 $a(PQKB)10253628 035 $a(Au-PeEL)EBL1025023 035 $a(CaPaEBR)ebr10608440 035 $a(CaONFJC)MIL395009 035 $a(UkCbUP)CR9781139026130 035 $a(MiAaPQ)EBC1025023 035 $a(PPN)261332619 035 $a(EXLCZ)992670000000261196 100 $a20120611d2012 uy 0 101 0 $aeng 135 $aur||||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 14$aThe Black-Scholes model /$fMarek Capinski, Ekkehard Kopp 205 $a1st ed. 210 $aNew York $cCambridge University Press$d2012 215 $a1 online resource (ix, 168 pages) $cdigital, PDF file(s) 225 0 $aMastering mathematical finance 300 $aIncludes index. 311 $a0-521-17300-0 311 $a1-107-00169-2 327 $aCover; 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 327 $aGeneral 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 327 $aContinuous 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 330 $aThe Black-Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study. 410 0$aMastering mathematical finance. 606 $aOptions (Finance)$xPrices$xMathematical models 606 $aInvestments$xMathematical models 615 0$aOptions (Finance)$xPrices$xMathematical models. 615 0$aInvestments$xMathematical models. 676 $a332.64/53 700 $aCapinski$b Marek$f1951-$0536472 701 $aKopp$b P. E.$f1944-$056444 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910821032803321 996 $aThe Black-Scholes model$94204963 997 $aUNINA