Title An introduction to financial option valuation : mathematics, stochastics, and computation / Desmond J. Higham

Published Cambridge, UK ; New York : Cambridge University Press, 2004

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Description 1 online resource (xxi, 273 pages) : illustrations Contents Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE Summary 880-01 Textbook providing an introduction to financial option valuation for undergraduates. Solutions available from solutions@cambridge.org 880-01/(N This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Blаскђ́أScholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data Bibliography Includes bibliographical references (pages 267-270) and index Notes English Print version record Subject Options (Finance) -- Valuation -- Mathematical models Options (Finance) -- Prices -- Mathematical models Derivative securities. BUSINESS & ECONOMICS -- Investments & Securities -- General. Derivative securities Options (Finance) -- Prices -- Mathematical models Options (Finance) -- Valuation -- Mathematical models Bewertung Mathematische Methode Optionsgeschäft Optiehandel. Taxatie. Wiskundige modellen. Prijzen (economie) Derivaten (financiën) Évaluation. Modèle mathématique. Instrument dérivé (Finances) Prix de l'option. Option (Finances) Form Electronic book ISBN 9780511800948 0511800940 9780511648700 0511648707 0511337043 9780511337048 9780511252785 0511252781 051133639X 9780511336393 1107162300 9781107162303 0511567170 9780511567179 9780511644702 0511644701 9781139637183 1139637185 9781282389458 1282389459

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