How to calculate options prices and their greeks : exploring the black scholes model from delta to vega / Pierino Ursone.
Material type: TextSeries: The wiley finance seriesPublication details: Chichester : John Wiley & Sons, 2015.Description: x, 208 p. : ill. ; 24 cmISBN:- 9781119011620
- 332.6453 22 URS
Item type | Current library | Collection | Call number | Vol info | Status | Date due | Barcode | Item holds |
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Book - Borrowing | Central Library First floor | Academic Bookshop | 332.6453 URS (Browse shelf(Opens below)) | 9154 | Available | 000034085 |
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332.6452409421 KRO Money mavericks : | 332.6453 JAM FX option performance : | 332.6453 KOB The intelligent option investor : | 332.6453 URS How to calculate options prices and their greeks : | 332.645301 BEN Option theory with stochastic analysis : | 332.645302855133 ROU The Heston model and its extensions in VBA / | 332.6457 CHA An introduction to derivatives and risk management / |
Index : p. 205-208.
"A unique, in-depth guide to options pricing and valuing theirgreeks, along with a four dimensional approach towards the impactof changing market circumstances on optionsHow to Calculate Options Prices and Their Greeks is the onlybook of its kind, showing you how to value options and thegreeks according to the Black Scholes model but also how to do thiswithout consulting a model. You'll build a solid understanding ofoptions and hedging strategies as you explore the concepts ofprobability, volatility, and put call parity, then move into moreadvanced topics in combination with a four-dimensional approach ofthe change of the P&L of an option portfolio in relation tostrike, underlying, volatility, and time to maturity. Thisinformative guide fully explains the distribution of first andsecond order Greeks along the whole range wherein an option hasoptionality, and delves into trading strategies, including spreads,straddles, strangles, butterflies, kurtosis, vega-convexity , andmore. Charts and tables illustrate how specific positions in aGreek evolve in relation to its parameters, and digital ancillariesallow you to see 3D representations using your own parameters andvolumes. The Black and Scholes model is the most widely used optionmodel, appreciated for its simplicity and ability to generate afair value for options pricing in all kinds of markets. This bookshows you the ins and outs of the model, giving you the practicalunderstanding you need for setting up and managing an optionstrategy. Understand the Greeks, and how they make or break a strategy. See how the Greeks change with time, volatility, and underlying. Explore various trading strategies[bullet] Implement options positions, and more. Representations of option payoffs are too often based on a simpletwo-dimensional approach consisting of P&L versus underlying atexpiry. This is misleading, as the Greeks can make a world ofdifference over the lifetime of a strategy. How to CalculateOptions Prices and Their Greeks is a comprehensive, in-depth guideto a thorough and more effective understanding of options, theirGreeks, and (hedging) option strategies"--
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