Haug E.G. Option Pricing Formulas

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размер 9.31 МБ
добавлен 14 сентября 2011 г.

N.-Y., McGrow Hill, 1998. - 572p.

Справочник по расчёту цен опционов и производных показателей ("греков"), включая опционы американского стиля, экзотические опционы на один или два актива, альтернативные формуле Блэка-Шоулса методы расчёта, методы на основе уравнений с частными производными и Монте-Карло, учёт дивидендных выплат, опционы на товары, энергию и ставку процента. Рассматриваются понятия волатильности и корреляции и их влияния на цену опционов, в приложении имеется подборка необходимых сведений из математики. Для специалиста опционной торговли, а также студента, аспиранта или преподавателя соответствующих специальностей.

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