An Introduction to Exotic Option Pricing

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  • Price: $79.95 $71.96
  • Hardback: 306 pages
  • Also available in e-Book
  • Published: November 2010
  • ISBN: 978-1-4200910-0-7
  • Publisher: Chapman & Hall

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Part of the Chapman & Hall/CRC Financial Mathematics Series series

Emphasizing analytical techniques rather than risk management issues, this book presents an applied mathematics approach to pricing a wide range of standard and exotic options within the Black–Scholes framework. No formula is simply quoted, as is the general approach in this difficult subject area. Instead, the author demystifies the perceived complexities surrounding the field of exotic option pricing by deriving each pricing formula in detail. After a brief derivatives review, he addresses dual-expiry, two-asset rainbow, and barrier options. The book also explains how stochastic volatility models are calibrated to the market.

Table of Contents

Derivative Basics. Statistical Background. The Black–Scholes PDE. Path-Independent Exotics. Dual-Expiry Options. Two-Asset Rainbow Options. Barrier Options. Credit Derivatives. Lookback Options. Asian Options. Multi-Period, Multi-Asset Binaries. Real Options.

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