Option Pricing Models and Volatility Using Excel-VBA : [PDF Download]

PDF Title:Option Pricing Models and Volatility Using Excel-VBA
Author:Fabrice D. Rouah & Gregory Vainberg
Total Page:458 Pages
PDF Size:9.98 MB
PDF Link:Read and Download


Here on this page, we have provided option to read “Option Pricing Models and Volatility Using Excel-VBA PDF” and please feel free to download PDF file for offline reading it from download link Given below to Your Computer/Mobile Storage. For more books from Same Author You can visit Wiley.com.

Option Pricing Models and Volatility Using Excel-VBA- Download PDF Book:

“The advantage of binomial and trinomial trees is that not only can they can be used to value just about any type of option, but they are very easy to implement. The drawback of binomial trees is that the amount of increase or decrease of the security at each node, as well as the probability of an increase or a decrease, is usually fixed.

In these models, jumps in asset prices are not permitted. In this chapter we introduce several binomial trees, the popular Cox, Ross, and Rubinstein (1979) (CRR) binomial tree, the Leisen and Reimer (1996) binomial tree, the flexible binomial tree of Tian (1999), the Edgeworth binomial tree of Rubinstein (1998), and the trinomial tree of Boyle (1986).

In the CRR binomial tree we allow dividends in the form of payments at prespecified periods. We also introduce the implied binomial tree of Derman and Kani (1994); the implied trinomial tree of Derman, Kani and Chriss (1996); and the adaptive mesh method (AMM) of Figlewski and Gao (1999).

In Chapter 7 we show how option sensitivities (the Greeks) can be extracted from these trees, and in Chapter 8 we use trees to obtain prices of exotic options.”

PDF Preview – Read, Think and Grow

Download Link: Option Pricing Models and Volatility Using Excel-VBA PDF File

Our intention with this initiative is only to help needy people. If the PDF file download link is not working or this PDF Content is Copyright material and if you want to unpublish it, Please REPORT IT.

Share with Others: