Option pricing models and volatility using Excel-VBA / Fabrice Douglas Rouah, Gregory Vainberg.
2007
HG6024.A3 R678 2007eb
Formats
| Format | |
|---|---|
| BibTeX | |
| MARCXML | |
| TextMARC | |
| MARC | |
| DublinCore | |
| EndNote | |
| NLM | |
| RefWorks | |
| RIS |
Linked e-resources
Details
Title
Option pricing models and volatility using Excel-VBA / Fabrice Douglas Rouah, Gregory Vainberg.
Author
ISBN
9781119202097 (electronic bk.)
1119202094 (electronic bk.)
9780470125755
0470125756
1118429206
9781118429204
1280827130
9781280827136
9786610827138
6610827133
0471794643 (Paper)
9780471794646 (paper/cd-rom)
1119202094 (electronic bk.)
9780470125755
0470125756
1118429206
9781118429204
1280827130
9781280827136
9786610827138
6610827133
0471794643 (Paper)
9780471794646 (paper/cd-rom)
Imprint
Hoboken, N.J. : John Wiley & Sons, ©2007.
Language
English
Language Note
English.
Description
1 online resource (xi, 441 pages) : illustrations
Call Number
HG6024.A3 R678 2007eb
System Control No.
(OCoLC)299750758
Summary
A practical guide to implementing advanced option pricing models and stochastic volatility using Excel/VBA. This book offers practitioners the tools and techniques needed to use advanced models for pricing options and obtaining volatility. Divided into three comprehensive parts, Option Pricing Models and Volatility Using Excel/VBA describes cutting-edge option pricing formulas and stochastic volatility models.
Bibliography, etc. Note
Includes bibliographical references (pages 409-412) and index.
Formatted Contents Note
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.
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.
Source of Description
Print version record.
Added Author
Available in Other Form
Print version: Rouah, Fabrice, 1964- Option pricing models and volatility using Excel-VBA. Hoboken, N.J. : John Wiley & Sons, ©2007
Linked Resources
Record Appears in