Option pricing models and volatility using Excel-VBA / | Fabrice Douglas Rouah, Gregory Vainberg.
Rouah, Fabrice, 1964-
Option pricing models and volatility using Excel-VBA / Fabrice Douglas Rouah, Gregory Vainberg. - Hoboken, N.J. : John Wiley & Sons, c2007. - xi, 441 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.). - Wiley finance . - Wiley finance. .
Includes bibliographical references (p. 409-412) and index.
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.
0471794643 9780471794646
Microsoft Excel (Computer file)
Microsoft Visual Basic for applications.
Capital investments--Evaluation--Mathematical models
Options (Finance)--Mathematical models
Options (Finance)--Prices
HG6024.A3 / R678 2007
Option pricing models and volatility using Excel-VBA / Fabrice Douglas Rouah, Gregory Vainberg. - Hoboken, N.J. : John Wiley & Sons, c2007. - xi, 441 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.). - Wiley finance . - Wiley finance. .
Includes bibliographical references (p. 409-412) and index.
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.
0471794643 9780471794646
Microsoft Excel (Computer file)
Microsoft Visual Basic for applications.
Capital investments--Evaluation--Mathematical models
Options (Finance)--Mathematical models
Options (Finance)--Prices
HG6024.A3 / R678 2007