Advanced Option Pricing Models: An Empirical Approach to Valuing Options
Author(s)
Katz, Jeffrey Owen
McCormick, Donna
Katz, Jeffrey Owen
McCormick, Donna
Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and “curve fitting,” and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.
| Name in long format: | Advanced Option Pricing Models: An Empirical Approach to Valuing Options |
|---|---|
| ISBN-10: | 0071454705 |
| ISBN-13: | 9780071454704 |
| Book pages: | 450 |
| Book language: | en |
| Edition: | 1 |
| Binding: | Kindle Edition |
| Publisher: | McGraw Hill |
| Dimensions: | Page Fidelity |
