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Option pricing models and volatility using Excel-VBA /

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 Model...

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Bibliographic Details
Main Author: Rouah, Fabrice, 1964-
Other Authors: Vainberg, Gregory, 1978-
Format: eBook
Language:English
Language Notes:English.
Published: Hoboken, N.J. : John Wiley & Sons, ©2007.
Subjects:
Microsoft Excel (Computer file)
Microsoft Visual Basic for applications.
Options (Finance) > Prices.
Capital investments > Evaluation > Mathematical models.
Options (Finance) > Mathematical models.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 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.