ISBN 9780070248915,Valuation Of Options

Valuation Of Options

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Publisher

Tata McGraw - Hill Education

Publication Year 2008
ISBN-13

ISBN 9780070248915

ISBN-10 0070248915
Binding

Paperback

Number of Pages 96 Pages
Language (English)
Subject

Business

This book demonstrates the inadequacy of simple arbitrage-free strategy in pricing options and discusses the intricacies of the two best known option pricing models-Binomial Model and Black-Scholes Model. It covers- Variables influencing option value; Binomial Model for European and American options; Black-Scholes Model: stochastic processes, Ito 's lemma and Black- Scholes formula; the 'Greeks '- Delta, Gamma, Vega, Theta, Rho-in the Black-Scholes formula.
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