An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics)
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An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Fi...
Book Details
• Format: Hardcover, Illustrated
• Language: English
• ISBN-13: 9781420091007
• Writer: Peter Buchen
• Book Edition: 1
• Publisher: CRC Press
• Pages: 296
• Binding: Hardcover
• Subject/Category: Exotic Option Pricing, Quantitative Finance
• Explains pricing of exotic options in an accessible, nontechnical, yet mathematically elegant way
• Covers necessary financial, mathematical, and statistical background
• Introduces advanced methods like static replication, Gaussian shift theorem, and method of images
• Applies these techniques to price complex exotic options such as dual-expiry, multi-asset rainbow, barrier, lookback, and Asian options
• Includes powerful formulas for multi-asset, multiperiod derivatives pricing
• Suitable for readers interested in practical applications within the Black–Scholes framework and Monte Carlo simulations
