An Introduction to Exotic Option Pricing
Auteur : Buchen Peter
In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author incorporates much of his own unpublished work, including ideas and techniques new to the general quantitative finance community.
The first part of the text presents the necessary financial, mathematical, and statistical background, covering both standard and specialized topics. Using no-arbitrage concepts, the Black?Scholes model, and the fundamental theorem of asset pricing, the author develops such specialized methods as the principle of static replication, the Gaussian shift theorem, and the method of images. A key feature is the application of the Gaussian shift theorem and its multivariate extension to price exotic options without needing a single integration.
The second part focuses on applications to exotic option pricing, including dual-expiry, multi-asset rainbow, barrier, lookback, and Asian options. Pushing Black?Scholes option pricing to its limits, the author introduces a powerful formula for pricing a class of multi-asset, multiperiod derivatives. He gives full details of the calculations involved in pricing all of the exotic options.
Taking an applied mathematics approach, this book illustrates how to use straightforward techniques to price a wide range of exotic options within the Black?Scholes framework. These methods can even be used as control variates in a Monte Carlo simulation of a stochastic volatility model.
Technical Background: Financial Preliminaries. Mathematical Preliminaries. Gaussian Random Variables. Applications To Exotic Option Pricing: Simple Exotic Options. Dual Expiry Options. Two-Asset Rainbow Options. Barrier Options. Lookback Options. Asian Options. Exotic Multi-Options. References. Index.
Peter Buchen is an Associate Professor of Finance at the University of Sydney Business School. Dr. Buchen is co-founder of the Sydney Financial Mathematics Workshop, has authored many publications in financial mathematics, and has taught courses in quantitative finance and derivative securities. His research focuses on mathematical methods for valuing exotic options.
Date de parution : 03-2012
15.6x23.4 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 208,65 €
Ajouter au panierDate de parution : 09-2019
15.6x23.4 cm
Thèmes d’An Introduction to Exotic Option Pricing :
Mots-clés :
Black Scholes PDE; Exotic Option Pricing; Pr Ic; Rainbow Option; Standard European Call Option; PDE Method; Double Barrier Options; Forward Start Options; OTC Market; Forward Start; Single Underlying Asset; Bond Binaries; Exotic Options; Strike Price; Call Option; Barrier Options; Mellin Transform; Underlying Asset Price; Lookback Options; Call Barrier Option; Strike Lookback; Asian Options; Multi-variate Gaussian; Standard European Option; Lookback Call Option