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VALUATION OF OPTIONS

VALUATION OF OPTIONS
Books from same Author: PARAMESWARAN and SUNIL
Books from same Publisher: McGraw Hill

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Description

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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General Information
Author(s)PARAMESWARAN and SUNIL
PublisherMcGraw Hill
ISBN9780070248915
BindingPaperback
LanguageEnglish
Publish YearJanuary 2008
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