Option pricing models and volatility using Excel-VBA Fabrice Douglas Rouah, Gregory Vainberg.
By: Rouah, Fabrice
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Contributor(s): Vainberg, Gregory.
Series: Wiley finance series: Hoboken, N.J. John Wiley & Sons ©2007Description: xi, 441 páginas ilustrado 24 cm.ISBN: 9780471794646.Subject(s): Microsoft excel (computer file) | Microsoft visual basic for applications | Options (finance) -- Prices | Capital investments -- Evaluation -- Mathematical models | Options (finance) -- Mathematical models | Opción (finanzas) -- Modelo matemático | Inversion de capital -- EvaluaciónDDC classification: 332.645 Online resources: Table of contents only | Contributor biographical information | Publisher description | Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Libros
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Biblioteca Central | General | 332.645 / R852o (Browse shelf) | Ej.1 | Available | 8000022260 |
Incluye referencia bibliográfica (p. 409-412) e índice.
Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
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