Complete Guide to Options Pricing Formulas (Hardcover)

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Product Description
The world of options has moved beyond the simple Black-Schooles pricing model, making more types of options available. "The Complete Guide to Option Pricing Formulas" is the first reference manual on options pricing formulas, one that every professional options trader and institutional money manager will need. Designed for the practitioner, this reference offers formulas used daily by some of the best talent on Wall Street. Complete with numerical examples and explanations, Haug's "stamp collection" of formulas is an ideal supplement for anyone working with financial options.

From the Back Cover
The first Sourcebook to Explain Every Important Option Pricing Formula. When pricing options in today's fast-action markets, experience and intuition are not longer enough. To protect your carefully planned positions, you need precise facts and tested information that has been proven time and again. The Complete Guide to Option Pricing Formulas is the first and only authoritative reference to contain every option pricing took you need, all in one handy volume: Black-Scholes, two asset binomial trees, implied trinomial trees, Vasiceck, exotics. Many important option pricing formulas are accompanied by computer code to assis in their use, understanding, and implementation. This invaluable, one-of-a-kind reference work gives you: a complete listing of key option formulas, all delivered in an easy-to-use dictionary format; Commentary that explains key points in the most important and useful formulas; Valuable software and ready-to-use programming code that enhances your understanding of option pricing models and their practical implementations; Practitioner-oriented formulas, and highlights of the latest option pricing research from major institutions worldwide; Pricing advances on commodity options like the Miltersen and Schwartz Model, exotic options such as extreme spread options and implied trinomial trees, and much more! Professionals who use options must have immediate access to reliable and complete option pricing formulas and information. The complete Guide to Option Pricing Formulas, an invaluable guide for both experienced users and those learning how to use the tools of valuation, is the first book to place all of the research and information you need at your fingertips. ABOUT THE AUTHOR Espen Gaarder Haug is a leading expert on derivatives theory and its practical implications. He has developed systems and tools for options and interest rate derivatives for the Chase Manhattan Bank Derivatives Research and Training Group (Europe), and also worked for several years in derivatives research and trading for Chemical Bank and Den Norske Bank. Haug is a greatly appreciated lecturer on derivatives in graduate finance programs and among practitioners. Further, he has published numerous articles on options in academic journals, including the Journal of Financial Engineering.

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First Sentence
Plain vanilla options are standard call and put options without any special properties attached. Read the first page Browse Sample Pages
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover

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10 Reviews 5 star:  (7) 4 star:  (1) 3 star:    (0) 2 star:    (0) 1 star:  (2)           Average Customer Review 4.1 out of 5 stars (10 customer reviews)		Share your thoughts with other customers: Create your own review
Most Helpful Customer Reviews   6 of 6 people found the following review helpful: 5.0 out of 5 stars A cookbook for the quantitative options trader, 31 Jan 1999 By A Customer Have you ever wished someone took all the significant option formulas of the last 25 years and packed them into one volume? Is your calculus rusty? How about putting the formulas into Visual Basic so they can be employed directly in Microsoft Excel spreadsheets or Access databases. This is the main appeal of Option Pricing Formulas, which fills a void in current option literature. As option players became more computer literate an anthology of coded option theory was clearly needed. The book covers everything from the tried and true Black Scholes and Cox/ Rubenstein formulas to the more exotic worlds of barrier and currency translated options. Software is included with the Visual Basic code as well as preprogrammed Excel files. Think of it as a cookbook for the technically oriented option trader. Comment Comment | Permalink | Was this review helpful to you? Yes No (Report this)   2 of 2 people found the following review helpful: 5.0 out of 5 stars Your one stop source for option pricing!, 22 Dec 1998 By A Customer This book has most of the option pricing formulas you'll ever need. The VB code would cost you 1000's of $ if you should buy it from a financial software vendor or consulting firm. A must-have for quants everywhere. Comment Comment | Permalink | Was this review helpful to you? Yes No (Report this)   2 of 2 people found the following review helpful: 5.0 out of 5 stars Eventually a book with all key option formulas, 29 Sep 1998 By A Customer Looking for a book with all key option formulas? Familiar with Exel Visual Basic? That's the book for you! Including the Implied Trinomial Tree. Comment Comment | Permalink | Was this review helpful to you? Yes No (Report this) Share your thoughts with other customers: Create your own review › See all 10 customer reviews...		Most Recent Customer Reviews 5.0 out of 5 stars Value for Money A lot of practical option models, computer code and numerical examples. Well worth its price. Published on 29 Aug 2001 4.0 out of 5 stars Komplett und Praxisnah Wer praxisnäher und differenzierter an die Bewertung nicht börsegehandelter Optionen herangehen möchte, wird mit diesem Buch große Freude haben. Read more Published on 18 Sep 2000 by Jakob Frauenschuh 5.0 out of 5 stars Eventually a book with all key option formulas Looking for a book with all key option formulas? Familiar with Exel Visual Basic? That's the book for you! Including the Implied Trinomial Tree. Published on 30 Jan 2000 by Franco Arda 1.0 out of 5 stars errors Have you ever tried to value a Partial-time single asset barrier option (i.e. an up-and-out call type A with asset price S = 75, strike price X = 85, barrier H = 95, time to... Read more Published on 27 Aug 1999 1.0 out of 5 stars No practical application All theory and no practical application. I would keep the book for my library but really don't think that the average trader can make sense of it. Published on 27 April 1999 5.0 out of 5 stars Transparent and ready-to-use derivatives applications. One of the very few books that bridge the gap between the very basic and the inaccessible PhD-like options literature. Read more Published on 9 Dec 1998 5.0 out of 5 stars Excellent book. No frivilous crap. Cuts to the chase. The book provides a great survey of the most popular and well know pricing models and methods. Cover-to-cover formulas and is accompanied by a couple of pretty neat programs... Read more Published on 28 Jun 1998 Search Customer Reviews Only search this product's reviews › See all 10 customer reviews...

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