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Option theory [[electronic resource] /] / Peter James
| Option theory [[electronic resource] /] / Peter James |
| Autore | James Peter <1943-> |
| Pubbl/distr/stampa | Hoboken, NJ, : J. Wiley, 2003 |
| Descrizione fisica | 1 online resource (389 p.) |
| Disciplina |
332.6328
332.645 |
| Collana | Wiley finance series |
| Soggetto topico | Options (Finance) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-27083-7
9786610270835 0-470-85795-1 0-470-01327-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Theory; Contents; Preface; PART 1 ELEMENTS OF OPTION THEORY; 1 Fundamentals; 1.1 Conventions; 1.2 Arbitrage; 1.3 Forward contracts; 1.4 Futures contracts; 2 Option Basics; 2.1 Payoffs; 2.2 Option prices before maturity; 2.3 American options; 2.4 Put-call parity for american options; 2.5 Combinations of options; 2.6 Combinations before maturity; 3 Stock Price Distribution; 3.1 Stock price movements; 3.2 Properties of stock price distribution; 3.3 Infinitesimal price movements; 3.4 Ito's lemma; 4 Principles of Option Pricing; 4.1 Simple example; 4.2 Continuous time analysis
4.3 Dynamic hedging4.4 Examples of dynamic hedging; 4.5 Greeks; 5 The Black Scholes Model; 5.1 Introduction; 5.2 Derivation of model from expected values; 5.3 Solutions of the Black Scholes equation; 5.4 Greeks for the Black Scholes model; 5.5 Adaptation to different markets; 5.6 Options on forwards and futures; 6 American Options; 6.1 Black Scholes equation revisited; 6.2 Barone-Adesi and Whaley approximation; 6.3 Perpetual puts; 6.4 American options on futures and forwards; PART 2 NUMERICAL METHODS; 7 The Binomial Model; 7.1 Random walk and the binomial model; 7.2 The binomial network 7.3 Applications8 Numerical Solutions of the Black Scholes Equation; 8.1 Finite difference approximations; 8.2 Conditions for satisfactory solutions; 8.3 Explicit finite difference method; 8.4 Implicit finite difference methods; 8.5 A worked example; 8.6 Comparison of methods; 9 Variable Volatility; 9.1 Introduction; 9.2 Local volatility and the Fokker Planck equation; 9.3 Forward induction; 9.4 Trinomial trees; 9.5 Derman Kani implied trees; 9.6 Volatility surfaces; 10 Monte Carlo; 10.1 Approaches to option pricing; 10.2 Basic Monte Carlo method; 10.3 Random numbers 10.4 Practical applications10.5 Quasi-random numbers; 10.6 Examples; PART 3 APPLICATIONS: EXOTIC OPTIONS; 11 Simple Exotics; 11.1 Forward start options; 11.2 Choosers; 11.3 Shout options; 11.4 Binary (digital) options; 11.5 Power options; 12 Two Asset Options; 12.1 Exchange options (Margrabe); 12.2 Maximum of two assets; 12.3 Maximum of three assets; 12.4 Rainbow options; 12.5 Black Scholes equation for two assets; 12.6 Binomial model for two asset options; 13 Currency Translated Options; 13.1 Introduction; 13.2 Domestic currency strike (compo) 13.3 Foreign currency strike: fixed exchange rate (quanto)13.4 Some practical considerations; 14 Options on One Asset at Two Points in Time; 14.1 Options on options (compound options); 14.2 Complex choosers; 14.3 Extendible options; 15 Barriers: Simple European Options; 15.1 Single barrier calls and puts; 15.2 General expressions for single barrier options; 15.3 Solutions of the Black Scholes equation; 15.4 Transition probabilities and rebates; 15.5 Binary (digital) options with barriers; 15.6 Common applications; 15.7 Greeks; 15.8 Static hedging; 16 Barriers: Advanced Options 16.1 Two barrier options |
| Record Nr. | UNINA-9910142494803321 |
James Peter <1943->
|
||
| Hoboken, NJ, : J. Wiley, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Option theory [[electronic resource] /] / Peter James
| Option theory [[electronic resource] /] / Peter James |
| Autore | James Peter <1943-> |
| Pubbl/distr/stampa | Hoboken, NJ, : J. Wiley, 2003 |
| Descrizione fisica | 1 online resource (389 p.) |
| Disciplina |
332.6328
332.645 |
| Collana | Wiley finance series |
| Soggetto topico | Options (Finance) |
| ISBN |
1-280-27083-7
9786610270835 0-470-85795-1 0-470-01327-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Theory; Contents; Preface; PART 1 ELEMENTS OF OPTION THEORY; 1 Fundamentals; 1.1 Conventions; 1.2 Arbitrage; 1.3 Forward contracts; 1.4 Futures contracts; 2 Option Basics; 2.1 Payoffs; 2.2 Option prices before maturity; 2.3 American options; 2.4 Put-call parity for american options; 2.5 Combinations of options; 2.6 Combinations before maturity; 3 Stock Price Distribution; 3.1 Stock price movements; 3.2 Properties of stock price distribution; 3.3 Infinitesimal price movements; 3.4 Ito's lemma; 4 Principles of Option Pricing; 4.1 Simple example; 4.2 Continuous time analysis
4.3 Dynamic hedging4.4 Examples of dynamic hedging; 4.5 Greeks; 5 The Black Scholes Model; 5.1 Introduction; 5.2 Derivation of model from expected values; 5.3 Solutions of the Black Scholes equation; 5.4 Greeks for the Black Scholes model; 5.5 Adaptation to different markets; 5.6 Options on forwards and futures; 6 American Options; 6.1 Black Scholes equation revisited; 6.2 Barone-Adesi and Whaley approximation; 6.3 Perpetual puts; 6.4 American options on futures and forwards; PART 2 NUMERICAL METHODS; 7 The Binomial Model; 7.1 Random walk and the binomial model; 7.2 The binomial network 7.3 Applications8 Numerical Solutions of the Black Scholes Equation; 8.1 Finite difference approximations; 8.2 Conditions for satisfactory solutions; 8.3 Explicit finite difference method; 8.4 Implicit finite difference methods; 8.5 A worked example; 8.6 Comparison of methods; 9 Variable Volatility; 9.1 Introduction; 9.2 Local volatility and the Fokker Planck equation; 9.3 Forward induction; 9.4 Trinomial trees; 9.5 Derman Kani implied trees; 9.6 Volatility surfaces; 10 Monte Carlo; 10.1 Approaches to option pricing; 10.2 Basic Monte Carlo method; 10.3 Random numbers 10.4 Practical applications10.5 Quasi-random numbers; 10.6 Examples; PART 3 APPLICATIONS: EXOTIC OPTIONS; 11 Simple Exotics; 11.1 Forward start options; 11.2 Choosers; 11.3 Shout options; 11.4 Binary (digital) options; 11.5 Power options; 12 Two Asset Options; 12.1 Exchange options (Margrabe); 12.2 Maximum of two assets; 12.3 Maximum of three assets; 12.4 Rainbow options; 12.5 Black Scholes equation for two assets; 12.6 Binomial model for two asset options; 13 Currency Translated Options; 13.1 Introduction; 13.2 Domestic currency strike (compo) 13.3 Foreign currency strike: fixed exchange rate (quanto)13.4 Some practical considerations; 14 Options on One Asset at Two Points in Time; 14.1 Options on options (compound options); 14.2 Complex choosers; 14.3 Extendible options; 15 Barriers: Simple European Options; 15.1 Single barrier calls and puts; 15.2 General expressions for single barrier options; 15.3 Solutions of the Black Scholes equation; 15.4 Transition probabilities and rebates; 15.5 Binary (digital) options with barriers; 15.6 Common applications; 15.7 Greeks; 15.8 Static hedging; 16 Barriers: Advanced Options 16.1 Two barrier options |
| Record Nr. | UNINA-9910830875703321 |
|
James Peter <1943->
|
||
| Hoboken, NJ, : J. Wiley, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Option theory / / Peter James
| Option theory / / Peter James |
| Autore | James Peter <1943-> |
| Pubbl/distr/stampa | Hoboken, NJ, : J. Wiley, 2003 |
| Descrizione fisica | 1 online resource (389 p.) |
| Disciplina | 332.64/5 |
| Collana | Wiley finance series |
| Soggetto topico | Options (Finance) |
| ISBN |
1-280-27083-7
9786610270835 0-470-85795-1 0-470-01327-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Theory; Contents; Preface; PART 1 ELEMENTS OF OPTION THEORY; 1 Fundamentals; 1.1 Conventions; 1.2 Arbitrage; 1.3 Forward contracts; 1.4 Futures contracts; 2 Option Basics; 2.1 Payoffs; 2.2 Option prices before maturity; 2.3 American options; 2.4 Put-call parity for american options; 2.5 Combinations of options; 2.6 Combinations before maturity; 3 Stock Price Distribution; 3.1 Stock price movements; 3.2 Properties of stock price distribution; 3.3 Infinitesimal price movements; 3.4 Ito's lemma; 4 Principles of Option Pricing; 4.1 Simple example; 4.2 Continuous time analysis
4.3 Dynamic hedging4.4 Examples of dynamic hedging; 4.5 Greeks; 5 The Black Scholes Model; 5.1 Introduction; 5.2 Derivation of model from expected values; 5.3 Solutions of the Black Scholes equation; 5.4 Greeks for the Black Scholes model; 5.5 Adaptation to different markets; 5.6 Options on forwards and futures; 6 American Options; 6.1 Black Scholes equation revisited; 6.2 Barone-Adesi and Whaley approximation; 6.3 Perpetual puts; 6.4 American options on futures and forwards; PART 2 NUMERICAL METHODS; 7 The Binomial Model; 7.1 Random walk and the binomial model; 7.2 The binomial network 7.3 Applications8 Numerical Solutions of the Black Scholes Equation; 8.1 Finite difference approximations; 8.2 Conditions for satisfactory solutions; 8.3 Explicit finite difference method; 8.4 Implicit finite difference methods; 8.5 A worked example; 8.6 Comparison of methods; 9 Variable Volatility; 9.1 Introduction; 9.2 Local volatility and the Fokker Planck equation; 9.3 Forward induction; 9.4 Trinomial trees; 9.5 Derman Kani implied trees; 9.6 Volatility surfaces; 10 Monte Carlo; 10.1 Approaches to option pricing; 10.2 Basic Monte Carlo method; 10.3 Random numbers 10.4 Practical applications10.5 Quasi-random numbers; 10.6 Examples; PART 3 APPLICATIONS: EXOTIC OPTIONS; 11 Simple Exotics; 11.1 Forward start options; 11.2 Choosers; 11.3 Shout options; 11.4 Binary (digital) options; 11.5 Power options; 12 Two Asset Options; 12.1 Exchange options (Margrabe); 12.2 Maximum of two assets; 12.3 Maximum of three assets; 12.4 Rainbow options; 12.5 Black Scholes equation for two assets; 12.6 Binomial model for two asset options; 13 Currency Translated Options; 13.1 Introduction; 13.2 Domestic currency strike (compo) 13.3 Foreign currency strike: fixed exchange rate (quanto)13.4 Some practical considerations; 14 Options on One Asset at Two Points in Time; 14.1 Options on options (compound options); 14.2 Complex choosers; 14.3 Extendible options; 15 Barriers: Simple European Options; 15.1 Single barrier calls and puts; 15.2 General expressions for single barrier options; 15.3 Solutions of the Black Scholes equation; 15.4 Transition probabilities and rebates; 15.5 Binary (digital) options with barriers; 15.6 Common applications; 15.7 Greeks; 15.8 Static hedging; 16 Barriers: Advanced Options 16.1 Two barrier options |
| Record Nr. | UNINA-9910877502503321 |
|
James Peter <1943->
|
||
| Hoboken, NJ, : J. Wiley, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||