Option Prices as Probabilities
Title | Option Prices as Probabilities PDF eBook |
Author | Christophe Profeta |
Publisher | Springer Science & Business Media |
Pages | 282 |
Release | 2010-01-26 |
Genre | Mathematics |
ISBN | 3642103952 |
Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?
Option Prices As Probabilities
Title | Option Prices As Probabilities PDF eBook |
Author | Christophe Profeta |
Publisher | |
Pages | 294 |
Release | 2010-09-10 |
Genre | |
ISBN | 9783642103964 |
Using Option Prices to Estimate Realignment Probabilities in the European Monetary System
Title | Using Option Prices to Estimate Realignment Probabilities in the European Monetary System PDF eBook |
Author | Allan M. Malz |
Publisher | |
Pages | 60 |
Release | 1995 |
Genre | Foreign exchange |
ISBN |
Option-Implied Risk-Neutral Distributions and Risk Aversion
Title | Option-Implied Risk-Neutral Distributions and Risk Aversion PDF eBook |
Author | Jens Carsten Jackwerth |
Publisher | |
Pages | |
Release | 2008 |
Genre | |
ISBN |
Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns
Title | Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns PDF eBook |
Author | Mark Rubinstein |
Publisher | |
Pages | |
Release | 2008 |
Genre | |
ISBN |
Option Prices and Probabilities
Title | Option Prices and Probabilities PDF eBook |
Author | Thomas Schmalfeldt |
Publisher | |
Pages | 86 |
Release | 2011 |
Genre | |
ISBN |
How to Price and Trade Options
Title | How to Price and Trade Options PDF eBook |
Author | Al Sherbin |
Publisher | John Wiley & Sons |
Pages | 231 |
Release | 2015-03-11 |
Genre | Business & Economics |
ISBN | 1118871227 |
Select and execute the best trades—and reduce risk Rather than teaching options from a financial perspective, How to Price and Trade Options: Identify, Analyze, and Execute the Best Trade Probabilities goes back to the Nobel Prize-winning Black-Scholes model. Written by well-known options expert Al Sherbin, it looks at the basis for probability theory in option trading and explains how to put the odds in your favor when trading options. Inside, you'll discover how anyone can "operate their own casino" if they know how through proper option strategies. Plus, a supplemental website includes videos that walk you through various probability scenarios, pre-formatted spreadsheets, and code. All investors should have a portion of their portfolio set aside for option trades. Not only do options provide great opportunities for leveraged plays, they can also help you earn larger profits with a smaller amount of cash outlay. With the help of this book, traders, active investors, and self-directed investors of all stripes will learn how simple it can be to deploy probability-based trading strategies. Teaches both defined and undefined risk strategies Utilizes simple cost basis reduction strategies to enhance investment returns Draws on unique research studies Discusses volatility to include both historical (realized) and implied volatility: the interplay between the two is a key piece of information overlooked by option traders If you're a trader of any level and want to make the best trades possible, this book has you covered.