An introduction to financial option valuation : mathematics, stochastics, and computation /

Textbook providing an introduction to financial option valuation for undergraduates. Solutions available from solutions@cambridge.org.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Higham, Desmond J., 1964-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK ; New York : Cambridge University Press, 2004.
Temas:
Options (Finance) > Valuation > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities.
Derivaten (financiën)
Instrument dérivé (Finances)
Modèle mathématique.
Optiehandel.
Option (Finances)
Prijzen (economie)
Prix de l'option.
Taxatie.
Wiskundige modellen.
Évaluation.
Options (Finances) > Évaluation > Modèles mathématiques.
Options (Finances) > Prix > Modèles mathématiques.
Instruments dérivés (Finances)
BUSINESS & ECONOMICS > Investments & Securities > General.
Bewertung
Mathematische Methode
Optionsgeschäft
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Option valuation preliminaries
  • Random variables
  • Computer simulation
  • Asset price movement
  • Asset price model: part I
  • Asset price model: part II
  • Black-Scholes PDE and formulas
  • More on hedging
  • The Greeks
  • More on the Black-Scholes formulas
  • Risk neutrality
  • Solving a nonlinear equation
  • Implied volitility
  • The Monte Carlo method
  • The binomial method
  • Cash-or-nothing options
  • American options
  • Exotic options
  • Historical volatility
  • Monte Carlo part II: variance reduction by antithetic variates
  • Monte Carlo part III: variance reduction by control variates
  • Finite difference methods
  • Finite difference methods for the Black-Scholes PDE.

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