| Description |
1 online resource (xxi, 273 pages) : illustrations |
| Physical Medium |
polychrome |
| Description |
text file |
| Bibliography |
Includes bibliographical references (pages 267-270) and index. |
| Contents |
Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE. |
| Summary |
Textbook providing an introduction to financial option valuation for undergraduates. Solutions available from solutions@cambridge.org. |
|
This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Blacкђ́أScholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Options (Finance) -- Valuation -- Mathematical models.
|
|
Options (Finance) -- Valuation -- Mathematical models. |
|
Options (Finance) |
|
Options (Finance) -- Prices -- Mathematical models.
|
|
Options (Finance) -- Prices -- Mathematical models. |
|
Derivative securities.
|
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Derivative securities. |
| Genre/Form |
Electronic books.
|
| Other Form: |
Print version: Higham, D.J. (Desmond J.). Introduction to financial option valuation. Cambridge, UK ; New York : Cambridge University Press, 2004 0521838843 (DLC) 2003069572 (OCoLC)53901306 |
| ISBN |
9780511800948 (electronic book) |
|
0511800940 (electronic book) |
|
9780511648700 (electronic book) |
|
0511648707 (electronic book) |
|
0511337043 |
|
9780511337048 |
|
9780511252785 (electronic book ; Adobe Reader) |
|
0511252781 (electronic book ; Adobe Reader) |
|
051133639X |
|
9780511336393 |
|
0521838843 |
|
9780521838849 |
|
0521547571 |
|
9780521547574 |
|
9780511336393 |
|
