http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
Option pricing models and volatility using Excel-VBA
1 online resource (xi, 441 pages) : illustrations
A practical guide to implementing advanced option pricing models and stochastic volatility using Excel/VBA. This book offers practitioners the tools and techniques needed to use advanced models for pricing options and obtaining volatility. Divided into three comprehensive parts, Option Pricing Models and Volatility Using Excel/VBA describes cutting-edge option pricing formulas and stochastic volatility models.
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.
Fabrice Douglas Rouah, Gregory Vainberg.
Includes bibliographical references (pages 409-412) and index.
Hoboken, N.J. : John Wiley & Sons, ©2007