Advanced Option Pricing Models

Advanced Option Pricing Models details specific conditionsunder which current option pricing models fail to provideaccurate price estimates and then shows option traders how toconstruct improved models for better pricing in a wider rangeof market conditions. Model-building steps cover options pricingunder conditional or marginal distributions, using polynomialapproximations and “curve fitting,” and compensating formean reversion. The authors also develop effective prototypemodels that can be put to immediate use, with real-time examplesof the models in action.

Jeffrey Owen Katz, Ph.D., is founder and president of Scientific Consultant Services, Inc. He is also a consultant and trader who applies advanced technology to modeling and trading the markets. The author of dozens of articles for Technical Analysis of Stocks and Commodities and Futures, Katz is the coauthor (with Donna L. McCormick) of The Encyclopedia of Trading Strategies and How to Start Day Trading Futures, Options, and Indices.

Donna L. McCormick is vice president of Scientific Consultant Services, Inc. She has coauthored numerous works with Katz and was a contributing writer for Technical Analysis of Stocks and Commodities.

Readers are invited to contact the authors at www.scientific-consultants.com.