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This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Levy process (GL…
1. Basic concepts in mathematical finance. 1.1. Price processes. 1.2. No-arbitrage and Martingale measures. 1.3. Complete and incomplete markets. 1.4. Fundamental theorems. 1.5. The Black-Scholes model. 1.6. Properties of the Black-Scholes model. 1.7. Generalization of the Black…
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The (GLP and MEMM) pricing models are clearly introduced, and the properties of these models are discussed in great detail.
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Levy process (GL…
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Lévy process (GL…
"This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Lévy process (G…
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Levy process (GL…
Commodity option pricing: a practitioner's guide
0
Type: Book
Commodity Option Pricing: A Practitioner's Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author's industry experience with commodity derivatives, this book provides a th…
Commodity Option Pricing: A Practitioner's Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author's industry experience with commodity derivatives, this book provides a th…
The Black-Scholes model
by Kopp, P. E., Capiński, Marek
fromMastering mathematical finance
0
Type: Book
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 o…