The Black-Scholes model
by Capiński, Marek Kopp, P. E.
The 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 mul…
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- Full title :The Black-Scholes model / Marek Capiński, Ekkehard Kopp.
Summary
The 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 ...
Read More ↓Edition Statements
- Publication Date:2012.
Publication Statements
- Publisher(s):Cambridge University Press
- Place of Publication:Cambridge
- Language:eng
- Publication Date:2012.
Notes
Includes index.
The Physical Object
- Description:ix, 168 s. ; : 23 cm.
Edition Identifiers
- ISBN:9781107001695, 9780521173001, 1107001692, 0521173000
- oclc:ocn824731062
- LC Classification:HG6024.A3
Table of Contents
Preface; 1. Introduction; 2. Strategies and risk-neutral probability; 3. Opti pricing and hedging; 4. Various extensions and applications; 5. Path-dependent options; 6. General models; Index.
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