The Complete Guide to Option Pricing Formulas (2nd edition)

Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula_ all presented in an easy-to-use dictionary format, with expert author commentary and ready-to-use programming code. The Second Edition of this classic guide now includes more than 60 new option models and formulas...extensive tables providing an overview of all formulas...new examples and applications...and an updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets. The volume also features several new chapters covering such things as: option sensitivities, discrete dividend, commodity options, and two chapters on numerical methods covering trees, finite difference and Monte Carlo Simulation. The new edition of The Complete Guide to Option Pricing Formulas offers quick access to: Options Pricing Overview Black-Scholes-Merton Black-Scholes-Merton Greeks Analytical Formulas for American Options Exotic Options Single Asset Exotic Options on Two Assets Black-Scholes-Merton Adjustments and Alternatives Trees and Finite Difference Methods Monte Carlo Simulation Options on Stocks that Pay Discrete Dividends Commodity and Energy Options Interest Rate Derivatives Volatility and Correlation Distributions Some Useful Formulas: Interpolation, Interest Rates, and Risk-Reward Measures This all-in-one options pricing guide contains a numerical example or a table with values for each option pricing formula. The book also includes a helpful glossary of notations, as well as an extensive bibliography of related books and articles.

long-established As A Definitive Resource By Wall Street Professionals, the Complete Guide To Option Pricing Formulas Has Been Revised And Updated To Reflect The Realities Of Today's Options Markets. The Second Edition Contains A Complete Listing Of Virtually Every Pricing Formula_

all Presented In An Easy-to-use Dictionary Format, With Expert Author Commentary And Ready-to-use Programming Code.

the Second Edition Of This Classic Guide Now Includes More Than 60 New Option Models And Formulas…extensive Tables Providing An Overview Of All Formulas…new Examples And Applications…and An Updated Cd Containing All Pricing Formulas, With Vba Code And Ready-to-use Excel Spreadsheets.

the Volume Also Features Several New Chapters Covering Such Things As: Option Sensitivities, Discrete Dividend, Commodity Options, And Two Chapters On Numerical Methods Covering Trees, Finite Difference And Monte Carlo Simulation.

the New Edition Of the Complete Guide To Option Pricing Formulas Offers Quick Access To:

• options Pricing Overview
• black-scholes-merton
• black-scholes-merton Greeks
• analytical Formulas For American Options
• exotic Options Single Asset
• exotic Options On Two Assets
• black-scholes-merton Adjustments And Alternatives
• trees And Finite Difference Methods
• monte Carlo Simulation
• options On Stocks That Pay Discrete Dividends
• commodity And Energy Options
• interest Rate Derivatives
• volatility And Correlation
• distributions
• some Useful Formulas: Interpolation, Interest Rates,

  and Risk-reward Measures

this All-in-one Options Pricing Guide Contains A Numerical Example Or A Table With Values For Each Option Pricing Formula. The Book Also Includes A Helpful Glossary Of Notations, As Well As An Extensive Bibliography Of Related Books And Articles.

espen Gaarder Haug, Has More Than 15 Years Of Experience In Derivatives Trading And Research. He Has Worked As A Proprietary Option Trader At J.p. Morgan Chase In New York, And As An Option Trader For The Hedge Funds Amaranth Advisors And Paloma Partners. Dr. Haug Has Published Extensively In Journals Such As quantitative Finance, international Journal Of Theoretical And Applied Finance, And wilmott Magazine. He Is Also A Popular Lecturer On Option Pricing, Hedging, And Risk Management And An Adjunct Associate Professor At Norwegian University Of Science And Technology.

The Complete Guide to Option Pricing Formulas......Page 1 Title Page......Page 3 Contents......Page 5 Introduction......Page 15 Acknowledgments......Page 17 What Is New in the Second Edition?......Page 19 Options Pricing Formulas Overview......Page 21 Glossary of Notations......Page 33 1 Black-Scholes-Merton......Page 37 2 Black-Scholes-Merton Greeks......Page 57 3 Analytical Formulas for American Options......Page 133 4 Exotic Options-Single Asset......Page 147 5 Exotic Options on Two Assets......Page 239 6 Black-Scholes-Merton Adjustments and Alternatives......Page 269 7 Trees and Finite Difference Methods......Page 315 8 Monte Carlo Simulation......Page 381 9 Options on Stocks That Pay Discrete Dividends......Page 403 10 Commodity and Energy Options......Page 433 11 Interest Rate Derivatives......Page 449 12 Volatility and Correlation......Page 481 13 Distributions......Page 501 14 Some Useful Formulas......Page 523 The Option Pricing Software......Page 533 Bibliography......Page 535 Index......Page 557 Since it was first published in 1997, The Complete Guide to Option Pricing Formulas has become the "bible" in the world of options, providing traders and investors with virtually every option formula. Now completely updated and extensively expanded, the Second Edition of this classic financial resource is more than twice as long as the First Edition, covering a wide range of new and different types of options as well as the pricing models for them.The Second Edition of this essential option pricing tool now features: Extensive tables providing an overview of all formulas, with indications of their relative merit and importance, An updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities), More than 60 new options models and formulas; new chapters on option sensitivities, discrete dividend modeling, commodity options, and more. Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket