Option Prices as Probabilities

Name: Option Prices as Probabilities
SKU: 3961691
Price: 138.99 AUD
Availability: InStock

A New Look at Generalized Black-Scholes Formulae

By:

Format:

Paperback / softback

Series:

Springer Finance

Show Hide Adult Content

$138.99

RRP:: ~~$169.95~~ save $30.96

Available from supplier

Usually ships in 3-4 weeks

0 in Trolley

Price Match

Wrap this item as a gift ($5.90) - add a free gift card on the next page

Buy Now, Pay Later with:

4 payments of $34.75 with Afterpay Learn more

Availability

Delivering to:

Estimated arrival:

Around 7-19 June using International Courier

Description

Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?

Release date Australia

February 12th, 2010

Author

Audience

Professional & Vocational

Illustrations

3 Illustrations, black and white; XXI, 270 p. 3 illus.

Pages

270

Series

Springer Finance

Dimensions

156x234x15

ISBN-13

9783642103940

Product ID

3961691

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here