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The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]]
| The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]] |
| Autore | Capiński Marek <1951-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (ix, 168 pages) : digital, PDF file(s) |
| Disciplina | 332.64/53 |
| Collana | Mastering mathematical finance |
| Soggetto topico | Options (Finance) - Prices - Mathematical models |
| ISBN |
1-316-08924-X
1-139-57933-9 1-283-63763-4 1-139-56984-8 1-107-25412-4 1-139-57250-4 1-139-02613-5 1-139-56894-9 1-139-57075-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 |
| Record Nr. | UNINA-9910462534803321 |
Capiński Marek <1951->
|
||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]]
| The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]] |
| Autore | Capiński Marek <1951-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (ix, 168 pages) : digital, PDF file(s) |
| Disciplina | 332.64/53 |
| Collana | Mastering mathematical finance |
| Soggetto topico | Options (Finance) - Prices - Mathematical models |
| ISBN |
1-316-08924-X
1-139-57933-9 1-283-63763-4 1-139-56984-8 1-107-25412-4 1-139-57250-4 1-139-02613-5 1-139-56894-9 1-139-57075-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 |
| Record Nr. | UNINA-9910785989103321 |
|
Capiński Marek <1951->
|
||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]]
| The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]] |
| Autore | Capiński Marek <1951-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (ix, 168 pages) : digital, PDF file(s) |
| Disciplina | 332.64/53 |
| Collana | Mastering mathematical finance |
| Soggetto topico | Options (Finance) - Prices - Mathematical models |
| ISBN |
1-316-08924-X
1-139-57933-9 1-283-63763-4 1-139-56984-8 1-107-25412-4 1-139-57250-4 1-139-02613-5 1-139-56894-9 1-139-57075-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 |
| Record Nr. | UNINA-9910821032803321 |
|
Capiński Marek <1951->
|
||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||