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Option Theory

Option Theory

Peter James

ISBN: 978-0-471-49289-4

Jan 2003

388 pages

In Stock

$195.00

Description

A unified development of the subject, presenting the theory of options in each of the different forms and stressing the equivalence between each of the methodologies.
* Demystifies some of the more complex topics.
* Derives practical, tangible results using the theory, to help practitioners in problem solving.
* Applies the results obtained to the analysis and pricing of options in the equity, currency, commodity and interest rate markets.
* Gives the reader the analytical tools and technical jargon to understand the current technical literature available.
* Provides a user-friendly reference on option theory for practicing investors and traders.
Preface.

PART I: ELEMENTS OF OPTION THEORY.

Fundamentals.

Option Basics.

Stock Price Distribution.

Principles of Option Pricing.

The Black Scholes Model.

American Options.

PART II: NUMERICAL METHODS.

The Binomial Model.

Numerical Solutions of the Black Scholes Equation.

Variable Volatility.

Monte Carlo.

PART III: APPLICATIONS: EXOTIC OPTIONS.

Simple Exotics.

Two Asset Options.

Currency Translated Options.

Options on One Asset at Two Points in Time.

Barriers: Simple European Options.

Barriers: Advanced Options.

Asian Options.

Passport Options.

PART IV: STOCHASTIC THEORY.

Arbitrage.

Discrete Time Models.

Brownian Motion.

Transition to Continuous Time.

Stochastic Calculus.

Equivalent Measures.

Axiomatic Option Theory.

Mathematical Appendix.

Bibliography and References.

Index.