Download Option Valuation Under Stochastic Volatility: With Mathematica Code pdf
Book By Alan L. Lewis / DMCA

Option Valuation Under Stochastic Volatility: With Mathematica Code

Provides an advanced treatment of option pricing for traders, money managers, and researchers, covering the new generation of option models where both the stock price and its volatility follow diffusion processes. Shows how these new models help explain important features of real-world option pricing that are not captured by the Black-Scholes model, discussing features such as the "smile" pattern ...

Paperback: 350 pages
Publisher: Finance Pr (February 1, 2000)
Language: English
ISBN-10: 0967637201
ISBN-13: 978-0967637204
Product Dimensions: 6 x 1 x 9.2 inches
Amazon Rank: 822173
Format: PDF Text djvu ebook

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“The book introduces the reader to the whole new world of pricing derivatives under stochastic volatility , which had been restricted to the academics for some time now . For finance professionals not satisfied with the performance of the constant vo...”

nd the term structure of implied volatility. Coverage includes the fundamental transform, the volatility of volatility series expansion, and the term structure of implied volatility. Includes Mathematica code for key formulas and many illustrations. Lewis has been active in option valuation and related financial research for some 20 years. Annotation c. Book News, Inc., Portland, OR (booknews.com)