The Black-Scholes model

by Capiński, Marek

Type Book

Rate 0.0 /5

Details

Files

Reviews

Download

Title Statements

Full title :The Black-Scholes model / Marek Capinski, Ekkehard Kopp.

Edition Statements

Publication Date:©2013.

Publication Statements

Publisher(s):Cambridge University Press
Place of Publication:Cambridge, UK
Language:eng
Publication Date:©2013.

Notes

Includes index.

The Physical Object

Description:ix, 168 pages ; : 23 cm.

Edition Identifiers

ISBN:9781107001695, 1107001692, 9780521173001, 0521173000
oclc:ocn795575285
LC Classification:HG6024.A3
Dewey Decimal:332.64/53

1.Introduction -- 1.1.Asset dynamics -- 1.2.Methods of option pricing -- 2.Strategies and risk-neutral probability -- 2.1.Finding the risk-neutral probability -- 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 -- 3.4.The Black-Scholes PDE -- 3.5.The Greeks -- 3.6.Risk and return -- 3.7.Proofs -- 4.Extensions and applications -- 4.1.Options on foreign currency -- 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 -- 5.4.Asian options -- 6.General models -- 6.1.Two assets -- 6.2.Many assets -- 6.3.Ito formula -- 6.4.Levy's Theorem -- 6.5.Girsanov Theorem -- 6.6.Applications.