| Description |
xv, 184 pages : illustrations ; 24 cm |
| Contents |
1. Probability -- 2. Normal Random Variables -- 3. Geometric Brownian Motion -- 4. Interest Rates and Present Value Analysis -- 5. Pricing Contracts via Arbitrage -- 6. The Arbitrage Theorem -- 7. The Black-Scholes Formula -- 8. Valuing by Expected Utility -- 9. Exotic Options -- 10. Beyond Geometric Brownian Motion Models -- 11. Autogressive Models and Mean Reversion |
| Summary |
"This elementary introduction to the theory of options pricing presents the Black-Scholes theory of options as well as such general topics in finance as the time value of money, rate of return of an investment cash-flow sequence, utility functions and expected utility maximization, mean variance analysis, optimal portfolio selection, and the capital assets pricing model."--BOOK JACKET. "The author assumes no prior knowledge of probability and presents all the necessary preliminary material simply and clearly in chapters on probability, normal random variables, and the geometric Brownian motion model that underlies the Black-Scholes theory. This book will appeal to professional traders as well as undergraduates studying the basics of finance."--BOOK JACKET |
| Notes |
Includes index |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Options (Finance)
|
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Securities -- Prices.
|
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Options (Finance) -- Mathematical models.
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Securities -- Prices -- Mathematical models.
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Investments -- Mathematics.
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Stochastic analysis.
|
| LC no. |
99025389 |
| ISBN |
0521770432 : |
|
