ENGLISH

Advanced Option Pricing Models

By Jeffrey Owen Katz

Book information

Publisher
McGraw-Hill Professional
Year
2009
ISBN
0071626441, 9780071626446
DOI
10.1036/0071454705
Language
english
Format
PDF
Filesize
2 MB (1598774 bytes)
Pages
452\449
Time added
2011-06-04 13:46:07

Description

Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and “curve fitting,” and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.

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