Advanced option pricing models : an empirical approach to valuing options / Jeffrey Katz, Donna L. McCormick.
"Standard option pricing models from Black-Scholes to Cox-Ross-Rubinstein can provide inaccurate conclusions under numerous market conditions, causing traders to arrive at erroneous pricing estimates and initiate unprofitable trades." "Advanced Option Pricing Models takes an objective...
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| Main Authors: | , |
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| Format: | Book |
| Language: | English |
| Published: |
New York :
McGraw-Hill,
[2005]
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| Subjects: | |
| Online Access: | Contributor biographical information |
| Summary: | "Standard option pricing models from Black-Scholes to Cox-Ross-Rubinstein can provide inaccurate conclusions under numerous market conditions, causing traders to arrive at erroneous pricing estimates and initiate unprofitable trades." "Advanced Option Pricing Models takes an objective, scientific look at this problem, detailing specific conditions under which standard option pricing models fail to provide accurate price estimates. It shows how to construct nonstandard models that effectively compensate for those flaws and provides a profitable competitive edge over traders still using older models." "Advanced Option Pricing Models analyzes standard pricing models, revealing their strengths as well as their fundamental flaws, then introduces nonstandard approaches that option analysts and traders can use to reach more consistently accurate, and profitable, appraisals of option value."--BOOK JACKET. |
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| Physical Description: | ix, 437 pages : illustrations ; 24 cm |
| Bibliography: | Includes bibliographical references (pages 425-428) and index. |
| ISBN: | 0071406050 9780071406055 |