Buchen, P: An Introduction to Exotic Option Pricing
Aus der Reihe
Chapman & Hall/CRC Financial Mathematics Series
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- Hardcover ausgewählt
- Taschenbuch
- eBook
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Sprache:Englisch
Fr. 303.00
inkl. gesetzl. MwSt.,
Beschreibung
Produktdetails
Einband
Gebundene Ausgabe
Erscheinungsdatum
03.02.2012
Abbildungen
50 Illustrations, black and white
Verlag
Taylor and FrancisSeitenzahl
296
Maße (L/B/H)
24.1/15.9/2.5 cm
Gewicht
710 g
Sprache
Englisch
ISBN
978-1-4200-9100-7
"Preface This book is a collection of a large amount of material developed from my teaching, research, and supervision of student projects and PhD theses. It also contains a significant quantity of original unpublished work. One of my main interests in Financial Mathematics was to seek elegant methods for pricing derivative securities. Although the literature on derivatives is vast, virtually none outside the academic journals, concentrates solely on pricing methods. Where it is considered, details are often glossed over, with comments like: "· · · and after a length integration, we arrive at the result", or "· · · this partial differential equation can be solved to yield the answer". In my experience, many students, even the mathematically gifted ones, found the subject of pricing any but the simplest derivatives, somewhat unsatisfactory and often quite daunting. One aim of this book is to correct the impression that exotic option pricing is a subject only for the technophiles. My plan is to present it in a mathematically elegant and easily understood fashion. To this end: I show in this book how to price, in a Black-Scholes economy, the standard exotic options, and a host of non-standard ones as well, without generally performing a single integration, or formally solving a partial differential equation. How is this to be achieved? In a nutshell, the book devotes a lot of space to developing specialized methods based on no-arbitrage concepts, the Black- Scholes model and the Fundamental Theorem of AssetPricing. These include the Principal of Static Replication, the Gaussian Shift Theorem and the Method of Images. The last of these, which has been borrowed from Theoretical Physics, is ideally suited to pricing barrier and lookback options"--Provided by publisher.
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