The Black-Scholes model
Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
Read More ↓Title Statements
- Full title :The Black-Scholes model / Marek Capiński, Ekkehard Kopp.
Summary
Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
Read More ↓Edition Statements
- Publication Date:2012.
Publication Statements
- Publisher(s):Cambridge University Press
- Place of Publication:Cambridge, UK
- Language:eng
- Publication Date:2012.
Notes
Includes index.
The Physical Object
- Description:ix, 168 pages : : illustrations ; : 23 cm.
Edition Identifiers
- ISBN:9781107001695, 1107001692, 9780521173001, 0521173000
- oclc:ocn824849328
- LC Classification:HG6024.A3
- Dewey Decimal:332.6453
Table of Contents
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.
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