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Advanced Option Pricing Models (repost)

Posted By: interes
Advanced Option Pricing Models (repost)

Advanced Option Pricing Models by Jeffrey Owen Katz
English | 2009 | ISBN: 0071626441, 0071406050 | 448 pages | PDF | 1,5 MB

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.