Black-Scholes and beyond : option pricing models /

Black-Scholes and beyond : option pricing models /

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Bibliographic Details
Author / Creator:	Chriss, Neil, 1967-
Imprint:	Chicago : Irwin, ©1997.
Description:	viii, 496 pages : illustrations ; 24 cm
Language:	English
Subject:	Options (Finance) -- Prices -- Mathematical models. Options (Finance) -- Prices -- Mathematical models.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/7899614

Hidden Bibliographic Details
ISBN:	0786310251 9780786310258
Notes:	Includes bibliographical references (pages 477-483) and indexes. Also issued online.
Summary:	In Black-Scholes and Beyond, a clear, detailed book on modern option pricing, Wall Street professional and respected mathematician Neil Chriss provides a comprehensive, one-stop treatment of the most important and potentially profit-making of these theories. Chriss explains the modern theory of option pricing from scratch, with all necessary mathematics and finance included in the text and accessible to the beginner. At the same time, Black-Scholes and Beyond provides in-depth coverage of newer option pricing models, theories and products, with enough detail for options market veterans. Topics covered include Cox-Ross-Rubinstein - Pioneering work on binomial trees, plus several new related methods of option pricing; Derman-Kani - The theory of implied volatility trees is covered comprehensively, but with less complexity than in the original work, and expanded for use with American options; and Implied Binomial Trees - Detailed discussion of the Rubinstein model and introduction of tools for increasing ease of use and utility.
Other form:	Online version: Chriss, Neil, 1967- Black-Scholes and beyond. Chicago : Irwin, ©1997

Description
Summary:	This text explains the basics of modern option pricing using minimal mathematics. The Black-Scholes equation is discussed as well as other methods that have built upon the success of Black-Scholes, including Cox-Ross-Rubinstein binomial trees, the Derman-Kani theory on implied volatility trees and Mark Rubenstein's implied binomial trees. Other topics covered include, pricing and hedging options, volatility smiles and how to price options in the presence of a smile, pricing barrier options and current theoretical developments from Wall Street.
Physical Description:	viii, 496 pages : illustrations ; 24 cm
Bibliography:	Includes bibliographical references (pages 477-483) and indexes.
ISBN:	0786310251 9780786310258