Binding: Hardcover
Dewey Decimal Number: 332.632283
EAN: 9780071389976
ISBN: 0071389970
Label: McGraw-Hill
Manufacturer: McGraw-Hill
Number Of Items: 1
Number Of Pages: 536
Publication Date: December 18, 2006
Publisher: McGraw-Hill
Sales Rank: 221071
Studio: McGraw-Hill

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Editorial Review:

Product Description:


Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula_ all presented in an easy-to-use dictionary format, with expert author commentary and ready-to-use programming code.



The Second Edition of this classic guide now includes more than 60 new option models and formulas…extensive tables providing an overview of all formulas…new examples and applications…and an updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets.



The volume also features several new chapters covering such things as: option sensitivities, discrete dividend, commodity options, and two chapters on numerical methods covering trees, finite difference and Monte Carlo Simulation.



The new edition of The Complete Guide to Option Pricing Formulas offers quick access to:

• Options Pricing Overview
• Black-Scholes-Merton
• Black-Scholes-Merton Greeks
• Analytical Formulas for American Options
• Exotic Options Single Asset
• Exotic Options on Two Assets
• Black-Scholes-Merton Adjustments and Alternatives
• Trees and Finite Difference Methods
• Monte Carlo Simulation
• Options on Stocks that Pay Discrete Dividends
• Commodity and Energy Options
• Interest Rate Derivatives
• Volatility and Correlation
• Distributions
• Some Useful Formulas: Interpolation, Interest Rates, and Risk-Reward Measures

This all-in-one options pricing guide contains a numerical example or a table with values for each option pricing formula. The book also includes a helpful glossary of notations, as well as an extensive bibliography of related books and articles.






Rating: - A must-read that is quickly becoming a classic
I have to agree with the majority of the reviewers: this is a great book, period. The amount of material is simply staggering, and the author's nickname of the "Collector" is well-deserved. It's a great reference book, and it's one of my favorites on the subject. Good explanations, easy to read, instructive examples, great layout, files are on the CD... it has nearly everything I need. I like it a lot.

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Rating: - Very nice book
This is a great reference book to have, spanning a wide spectrum of topics.

It begins covering anaylitical solutions for a variety of common equity/FX/commodities options (the 'lognormal' family) to then move into numerical methods (namely trees, including implied, and montecarlo). It also covers some fixed income products as well as useful miscellanea such as various formulas for interpolation, volatility estimation and derivations of BlackScholes greeks if one's chainrule is rusty. ... Read More

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Rating: - The Ultimate Book on Option Prices
In this book the author, Haug, shares with us his lifetime collection of option formulae.

The book can be used as a reference book or read from cover to cover. I read the book from cover to cover. The commentary is excellent. I have to confess that I didn't understand all the information in the book because I'm only a novice and I think some parts of the book were really intended for " financial engineers ". Even though I was a little bit out of my depth I was still able to understand ... Read More

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Rating: - Every desk should have a copy: by a practitioner for practitioners
If you want to cook, buy the paperback edition of "The Joy of Cooking" (JoC) and low and behold, your cooking will improve. JoC is a recipe book, but as you work through it you learn principals for cooking that are widely applicable.

If you want to be in quantfin you need to buy The Complete Book of Option Pricing Formulas: it is the "Joy of Cooking" for options. As you work through the collection, the formulas, and look at the code (on a wonderful CDROM) low and behold you'll get better ... Read More

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Rating: - Excellent Book
A very exhaustive list of the formula for the most used option.
A must for all Option trader. The codes are very helpfull also.

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