The Black–Scholes Model
Book Details
Format
Paperback / Softback
Book Series
Mastering Mathematical Finance
ISBN-10
0521173000
ISBN-13
9780521173001
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Sep 13th, 2012
Print length
178 Pages
Weight
302 grams
Dimensions
22.80 x 15.30 x 1.20 cms
Product Classification:
FinanceApplied mathematics
Ksh 6,850.00
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The authors focus on the key mathematical model used by finance practitioners, the Black–Scholes model, to explore the basic methodology of option pricing with a variety of derivative securities. Students, practitioners and researchers will benefit from the rigorous, but unfussy, approach to technical issues.
The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book''s rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.
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