| 청구기호 |
HG6024.A3 .R678 2007 |
| 형태사항 |
xi, 441 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.).
|
| 언어 |
English |
| 서지주기 |
Includes bibliographical references (p. 409-412) and index.
|
| 내용 |
Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
|
| 주제 |
Options (Finance) --Prices.
Capital investments --Evaluation --Mathematical models.
Options (Finance) --Mathematical models.
|
| LCCN |
2006031250
|
| ISBN |
9780471794646 (paper/cd-rom)
0471794643 (paper/cd-rom)
|
| 관련서지 |
Option pricing models and volatility using Excel-VBA [computer file]
|
