Option pricing models and volatility using Excel-VBA /
A practical guide to implementing advanced option pricing models and stochastic volatility using Excel/VBA. This book offers practitioners the tools and techniques needed to use advanced models for pricing options and obtaining volatility. Divided into three comprehensive parts, Option Pricing Model...
Основен автор: | Rouah, Fabrice, 1964- |
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Други автори: | Vainberg, Gregory, 1978- |
Формат: | Електронна книга |
Език: | English |
Публикувано: |
Hoboken, N.J. :
John Wiley & Sons,
℗♭2007.
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Серия: |
Wiley finance series.
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Предмети: | |
Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=190552 |
Подобни документи: |
Print version::
Option pricing models and volatility using Excel-VBA. |
Съдържание:
- 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.