An Introduction to Exotic Option Pricing

ISBN-13: 9780367381721 / Angielski / Miękka / 2019 / 296 str.

Peter Buchen

Opis

In an easy-to-understand, nontechnical yet mathematically elegant manner, this book shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving PDEs. It develops special pricing techniques based on the no-arbitrage principle and fully derives every price formula for the exotic options. The author incorporates a significant amount of original, previously unpublished material, such as the use of log-volutions and Mellin transforms to solve the Black–Scholes PDE. He also demystifies many esoteric issues underpinning the mathematical treatment of the subject.

Spis treści

Technical Background: Financial Preliminaries. Mathematical Preliminaries. Gaussian Random Variables. Applications To Exotic Option Pricing: Simple Exotic Options. Dual Expiry Options. Two-Asset Rainbow Options. Barrier Options. Lookback Options. Asian Options. Exotic Multi-Options. References. Index.

O autorze

Peter Buchen is an Associate Professor of Finance at the University of Sydney Business School. Dr. Buchen is co-founder of the Sydney Financial Mathematics Workshop, has authored many publications in financial mathematics, and has taught courses in quantitative finance and derivative securities. His research focuses on mathematical methods for valuing exotic options.